Have you tried building the project? If it works, the wizard is wrong. If it doesn't work, the wizard is correct and you need to change the settings you select in it to match the version of wxWidget's you've installed.
wxWidgets is a complex API and platform that you cannot merely install and start coding with. It's a good idea for you to read the Windows installation documentation and wxWidgets introductory documentation thoroughly. Particularly, you should understand the different configurations of wxWidgets that can be built (static vs. shared, multilib vs. monolithic, ANSI vs. Unicode, debug vs. release), which particular configuration you've installed, and how the options in Code::Blocks' wxWidgets wizard relate to it.
The Code::Blocks wiki also contains some good information on installing and using wxWidgets.
-JohnE / TDM