I don't know about OpenGL, but here is how I install wxWidgets in Windows...
Get wxMSW.zip from
http://biolpc22.york.ac.uk/pub/Daily_HEAD/Unzip in the CodeBlocks root directory (C:\Codeblocks)
Change the name of the wxWidgets dir to wxWidgets
Add the following to a batch file in the Codeblocks root dir. You might have to edit the first line to point to the dir mingw32-make.exe is in.
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set p=C:\CodeBlocks\bin;%path%
cd wxwidathgets\build\msw
mingw32-make -f makefile.gcc clean
mingw32-make -f makefile.gcc MONOLITHIC=1 SHARED=1 UNICODE=1 BUILD=debug
mingw32-make -f makefile.gcc MONOLITHIC=1 SHARED=1 UNICODE=1 BUILD=release
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Run the batch file and wait.
Create new wxWidget project in CodeBlocks
Select:
Use wxWidgets DLL
wxWidgets built as monolithic library and
Enable Unicode