Here, in the nVidia PhysX FAQ, I read
Can I run NVIDIA PhysX on my motherboard GPU?
NVIDIA PhysX API uses the GPU (Graphics Processing Unit) to process the physics environment calculations in games and applications which support NVIDIA's Physx. Physics calculations can be very complex and therefore as a system requirement, a GPU must feature 256MB of dedicated local video memory, support NVIDIA's CUDA technology and also have 32 cores or higher. If an NVIDIA motherboard GPU or a NVIDIA graphics card does not meet these requirements, you will not be able to use the GPU to process NVIDIA Physx calculations.
So basically, your IGP must support nVidia CUDA, i.e. it must be an nVidia graphics processor. This means that no Intel chipset can handle PhysX with its integrated graphics card.
You can consider buying a more powerful CPU and let it handle PhysX (i think that an i7 processor or a high range i5 would deal pretty well with that), let the dedicated nVidia GPU handle both graphics and PhysX (this is possible, with a drawback in performance), or buy another dedicated (nVidia GPU) for PhysX computation.