I've been trying to run Trine with not much luck. The Steam installation goes well enough, but the first-time launch tries to install a bunch of other things.
The first one is DirectX, even though I already had it installed in the bottle. But the installation seems to have gone well enough.
The second installer is the PhysX Engine, and that's where it stays. A small window shows up, as if decompressing the PhysX Engine installation files, and then nothing. The Steam launch window stays in: "Performing first time setup... / Installing: PhysX Physics Engine (step 2 of 3)"
From the other files in the trine folder, and from the other forum posts, it looks like the third installer will be Windows Media. But I haven't gotten to that point yet.
It's weird. Mass Effect includes PhysX, but I didn't have any problems there. Bioware and Frozenbyte must be distributing it differently.