Generally in Windows I don't use MSYS. I use mingw32-make directly.
mingw32-make -f makefile.gcc BUILD=release SHARED=0 UNICODE=1 MONOLITHIC=1
I think the error is coming due to as if you generate wx lib through configure script the lib path is different. Ignore the warning and prepare your project file with the wizard. Later modify the following lib paths.
After the project is generated, go to
Project > Build options, then go to
Directories tab and change the
$(#wx)\lib\vc_dll\mswu directory in each sub-tabs to something like
$(#wx)\lib\msw-unicode-release-static-2.8. Please check the directory as
I've never used MSYS to build wx lib.
The project should now compile.
Otherwise download wxPack from
http://wxpack.sourceforge.net/. wxPack comes with wxWidgets 2.8.0 libs compiled with GCC and MSVC 7.1 and the modified project wizard will work without any problem with that.