If you have Windows 7 and Nvidia:
Not only you should turn off PhysX, also you should not use Hardware T&L. Disabling those two fixed the problem for me. Disabling only PhysX didnt help, only T&L either.
I upgraded my nvidia drivers on vista and it wouldn't run. As soon as I rolled back the drivers, it worked fine. I also had to go into the default ini files to allow 1900x1280 resolution. I made that resolution the default.