Most likely you ar emissing NxCharacter.dll. The PhysX 2.x SDKs by NVIDIA had a very unfortunate license model. One of the most important libraries (the character controller code) has not been included in the redistributable part of the SDK. Therefor, developers who wanted to implement PhysX 2.x based games had to register with NVIDIA and download their own copy of the 2.8.4 SDK, then copy the dlls themselves (which has been compliant with the PhysX license).
As far as I know NVIDIA no longer provides the 2.x SDKs, so this might be a deadlock. I started working on 3.x support som time ago, but never got it finished. In PhysX 3.x all required parts are redistributable.