quite obviously your missing setup.h... heh, basically you forgot to configure wxwidgets is all.
in that directory there is a file called setup0.h make a copy of that and name it setup.h.
then open that copy and set the settings up as you like, and re-compile.
You may also need to copy that file to your lib directories, (the one it's specifying) I know the plain makefile has to be run several times before it will do that, so it's best to do it yourself.
Well, I am really not sure you need to perform all this stuff to compile wxWidgets under MSVC.
To be helped, you need to tell a litle bit more on how you are trying to compile wxWidgets.
AFAIK, there are two methods to compile wxWidgets with MSVC:
1. You open the dedicated project (located in wx_install_dir/build/msw/... or something like that). As I never used this one, I cannot help you furthermore, but I think this should be as simple as choosing your config and pressing the 'build' button.
2. You use the provided makefile (this is the method I use). In this case, you have to do the followings:
- Open a windows command shell
- go to you wxWidgets/build/msw directory.
- from the shell, execute the script located in something like (C:\Program Files\Microsoft Visual Studio 9.0\Common7\Tools\vsvars32.bat). This will configure your MSVC environment.
- then, compile wxWidgets with the makefile simply by executing the command 'nmake -f makefile.vc <build_options>' where build options could be stuff like BUILD=debug, for example.
You may think that the second solution is far more complex than first one, but from my experience, avoiding using Microsoft GUI environments generally allows you to avoid a lot of problems...