http://wiki.wxwidgets.org/Microsoft_..._C%2B%2B_Guide
Or to summarize what you'll find there:
- Download/install the source code (you'll want the wxMSW installer)
- After installation, open the workspace: build\msw\wx.dsw
- Build it in Debug Unicode mode and Release Unicode mode
My code assumes that you have wx installed at c:\wxWidgets -- typically what I do is setup a symbolic link to that directory using the Junction utility, but you can just directly install it there as well.
You can also use wxPack for a precompiled version of wx, but I don't have any experience with that.