The setup.h problem is a common one.
The setup.h file is platform and build specific. To make sure you get the right one for your build you have to include the right directory.
For my build, MingW debug, setup.h is in this directory:
C:\wxWidgets-2.8.7\lib\gcc_lib\mswd\wx
The gcc_lib is for the gnu compiler collection, msw is for Microsoft windows and the "d" after msw is for debug.
Thus my compile line has the include directive:
-IC:\wxWidgets-2.8.7\lib\gcc_lib\mswd
in order to include wx\setup.h
Why is an include file under a lib directory? dunno, it is where it is. Don't let that stop you from using wxWidgets, it really is a good library.
You're using linux not MSW so your directory will be something else. Do a find from WXBASE/lib and pick the right one.
Mike