After I am done and into code blocks and finished setting up the project and try to build I get the error free, release,
cannot find -lwxmsw28u_core
Any Ideas what is the problem?
The project you are trying to compile and link isn't configured for use the monolithic library build (as stahta01 has said). So, you must open your "Build options" and delete all the wxmsw28u_* libs references, including then an alone "wxmsw28u" (without quotes).
If you use a wizard for create a project, remember to select the proper options (those that match your current wxWidget library build, e.g. dynamic, monolithic, unicode, etc).