In spite of being offtopic...
You don't need to copy anything to another location. When you build your wxWidgets libraries, this file is created under the folder containing the libraries. For instance: D:\wxMSW-2.8.4\lib\gcc_dll\mswu\wx\setup.h (for a shared unicode build, asuming you have wxMSW root in D:\wxMSW-2.8.4 folder), so the only thing you need is to add that "D:\wxMSW-2.8.4\lib\gcc_dll\mswu" folder (or the one you need having in mind your own libraries) to your compiler directories options (in the build options for your project).