Where is the PhysX installer located?

Inside the game folder under _CommonRedist\PhysX\ , for example C:\Program Files (x86)\Steam\SteamApps\common\killingfloor2\_CommonRedist\PhysX\9.14.0702.

Do I need to keep PhysX installed?

No. The guide has you run the installer, choose Remove and finish, then launch the game. The version folder name can differ on your machine.

Fixes & Performance

KF2 msiexec.exe / PhysX Download Problem Fix

Some players in the first weeks of Killing Floor 2 Early Access (May 2015) found that Steam kept trying to run msiexec.exe or the PhysX installer before the game would start. This short fix, written by a Brazilian community member, forces the PhysX redistributable through its own installer so Steam stops looping.

Steps

Install Killing Floor 2 through Steam as usual.
Open the game folder and go to C:\Program Files (x86)\Steam\SteamApps\common\killingfloor2\_CommonRedist\PhysX\9.14.0702.
Run PhysX-9.14.0702-SystemSoftware.exe.
In the installer choose Remove and click Next, which uninstalls the PhysX System Software.
Start Killing Floor 2 from Steam.
Done.

Notes

9.14.0702 was the PhysX version at the time. The folder name on your computer can be different, so open the PhysX folder and use the version you find there.
If your Steam library is on another drive, replace the path prefix with your own library folder.
For other launch and install problems see the Killing Floor 2 not launching page.

FAQ

Where is the PhysX installer located?: Inside the game folder under _CommonRedist\PhysX\<version>, for example C:\Program Files (x86)\Steam\SteamApps\common\killingfloor2\_CommonRedist\PhysX\9.14.0702.
Do I need to keep PhysX installed?: No. The guide has you run the installer, choose Remove and finish, then launch the game. The version folder name can differ on your machine.