Thank, you. I have found problem. This wxWidgets wizard in CodeBlocks links wrong library wxmsw28u.lib, which in debug version should be wxmsw28ud.lib.
Fix:
Project > Build Options... > Linker Settings > Link Libraries: i have changed wxmsw28u.lib to wxmsw28ud.lib and now it works fine
Now I'm looking solution for other issue. I don't want to return to MinGW, because it doesnt support spaces in paths e.g. C:\Program Files\, but I need some debugger. I will go now googling CDB debugger