I added the line you gave in the 'Extra code' part of a wxDialog and it worked for me..
MyDialog::MyDialog(wxWindow* parent,wxWindowID id)
{
//(*Initialize(MyDialog)
Create(parent, id, _("Client"), wxDefaultPosition, wxDefaultSize, wxDEFAULT_DIALOG_STYLE, _T("id"));
SetClientSize(wxSize(334,219));
this->SetLabel(wxT("Hello"));
....
}
This is where it was inserted, in the constructor... Although, i removed the $ sign in mine since i got an error for that. The title of the dialog changed to 'Hello' after i ran the program...