This is what I'm getting.
-------------- Build: Release in Test ---------------
Compiling: TestMain.cpp
Compiling: resource.rc
In file included from C:\Projects\Test\resource.rc:3:
C:/wxMSW-2.8.0/include/wx/msw/wx.rc:119:24: warning: no newline at end of file
Compiling: TestApp.cpp
Linking executable: bin\Release\Test.exe
Process terminated with status 0 (0 minutes, 9 seconds)
0 errors, 1 warnings
Using Release-Dynamic-Unicode-Monolithic build.
So the wizard is working. Please check your settings.
Also it would be nice if you post more details, such as OS, wx config, Project config used, etc.