Well, that suggest that compiling wxWidgets was not successful (for whatever reason). I see no other possible explanation -- after a succesful build, it is there.
Have you looked at the compiler output after building wxWidgets? There are usually about 200,000 warnings, that's normal. However, if there is an error, then it should break and the error be visible as the last entry.
Did you make sure you have the requisites, in particular a recent enough make version?