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PhysX is a physic simulation library provided by NVIDIA which is commonly used in games. Wine supports this library since quite some time in the CPU fallback mode which means that all physic calculations are done on your CPU. On Windows PhysX also supports offloading of calculations to NVIDIA based graphic cards through CUDA. Starting with Wine Staging 1.7.34 the necessary features were added to provide the same possibility in Wine.
If you want to use GPU accelerated PhsyX you should first make sure that CUDA is set up correctly as described in the according Wiki page. The next step is to install the PhysX software into the wineprefix containing the program requiring PhysX support. Many applications will directly install the necessary dlls during the installation, but you can also download them from the NVIDIA website. PhysX should now be able to offload calculations to a NVIDIA GPU.
You can verify that PhsysX is working properly using the PhysX FluidMark Benchmark. The software displays in the start dialog whether GPU acceleration is available. You can also compare the FPS between GPU and CPU based simulations by changing the GPU checkbox in the start dialog.