IMPORTANT!If you get an error when doing the mingw32-make (something about a "process" that could not be started), you could install the MSYS package provided by MINGW:
http://www.mingw.org/download.shtml#hdr2. The file (at the time of this post) is 
MSYS-1.0.10.exe. It's on the file list.
The current installation will provide you with a shortcut that opens a MSYS window. This is a "virtual *nix" window. From there I could compile the package perfectly.
Here are the "inside msys" instructions 
(provided you installed wxwidgets in c:\tmp) :
cd /c/tmp/wxWidgets-2.4.2/src/msw 
make -f makefile.g95 WXMAKINGDLL=1 FINAL=1 UNICODE=0
That's it. 
Regarding a missing setup.h:
If you get a setup.h missing when you try to compile your wxWidgets project, it's hidden in include/wx/msw. The file should be 
c:\tmp\wxWidgets-2.4.2\include\wx\msw\setup.h. Copy it into your MINGW 
include\wx directory. For some reason my make didn't do it.
After that I got no compile problems at all 

And I got my "Hello,World" running! 
