I don't know how do they do it in wxWidgets 

  but in Win32 I did it this way 

1. Create winxp.manifest file with this code:
<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<assembly
  xmlns="urn:schemas-microsoft-com:asm.v1"
  manifestVersion="1.0">
<assemblyIdentity
    name="Sergei_Novik.Apps.tab"
    processorArchitecture="x86"
    version="1.0.0.0"
    type="win32"/>
<description>tab</description>
<dependency>
    <dependentAssembly>
        <assemblyIdentity
            type="win32"
            name="Microsoft.Windows.Common-Controls"
            version="6.0.0.0"
            processorArchitecture="x86"
            publicKeyToken="6595b64144ccf1df"
            language="*"/>
    </dependentAssembly>
</dependency>
</assembly>
2. Then in resource.rc file add this string:
    1 24 "winxp.manifest"
3. Recompile your project
4. After that you can delete your winxp.manifest file, your application will remain with xp style. 

By the way it isn't good idea insert manifest-file inside exe-file, cause it may bring some compatibility problems I guess.... 

Cheers!