1. it's not Code::Blocks, that does not find chkconf.h, it's your compiler (note: C::B is an IDE not a compiler),
2. your wxWidgets seems to be configured as windows-version, (wx)msw is the setup for windows, not for *nix-systems.
Either your wxWidgets-install is totally messed up or you have a totally misconfigured project or a misconfigure toolchain or you tried to tweak some of the wxWidgets-files manually.
How did you create your wxWidgets-project ?
Do you try to create a multi-platform project ?
Be sure you do not compile a windows project with linux wxWidgets, use wx-config on linux.