There is no need to create the setup.h file from the setup0.h file if you are using a release archive, it is already done there, you only need to do that if you are using a git clone.
The problem is most probably that the Makefile fails to create the required output directories, this is a long outstanding bug in these generated Makefiles. Running make multiple times might create the directories but usually fails especially if using parallel builds.
You have to create the directories yourself, it is something like mswu\wx\msw and mswud\wx\msw in the lib and dll output directory.