There is no magic bullet for this. If you link a library dynamically you need to either install it as a system library (for your average game support library, that hardly ever to never happens) or put the DLL next to the application executable. If any of those libraries or your game need any data files, they need to be placed correctly as well ('correctly' entirely depends on the libraries you are using and how you load your own resources).
If you are using MSVC you will most likely have to install the correct runtime on the target machine as well (if you are asking this question, static runtime linking almost certainly has not crossed your mind). How exactly to get the runtime on the target machine depends on the exact version of MSVC. Some require installers. Some allow just copying the DLLs next to the application. Some may appear to work by copying the DLLs next there but are subtly broken.
Physx might actually be one of those game libraries which has to be officially installed, but check the documentation there.
There are several installer generators around to automate the installer steps and compress all files into a single exe/msi. I know a bit InnoSetup but don't really have much reference to compare it against what else is out there.