Since exceptions work just fine for me, I think it may have to do with your wxWidgets build. Did you for example build wxWidgets with MSVC and then link that with a program compiled in MinGW?
The two have different exception models, so that might be one possible reason.
To narrow down the field, you might want to try a "hello world" exception program, i.e. one without wxWidgets. If that doesn't work either, something's broken. If that works, you know where to look.