I've checked the header file, where wxCheckListBox is declared and found out, that it's not included explicitly. But there are these lines in the wx/checklst.h which IS included:
#if defined(__WXUNIVERSAL__)
#include "wx/univ/checklst.h"
#elif defined(__WXWINCE__)
#include "wx/msw/wince/checklst.h"
#elif defined(__WXMSW__)
#include "wx/msw/checklst.h"
#elif defined(__WXMOTIF__)
#include "wx/motif/checklst.h"
#elif defined(__WXGTK20__)
#include "wx/gtk/checklst.h"
#elif defined(__WXGTK__)
#include "wx/gtk1/checklst.h"
#elif defined(__WXMAC__)
#include "wx/mac/checklst.h"
#elif defined(__WXCOCOA__)
#include "wx/cocoa/checklst.h"
#elif defined(__WXPM__)
#include "wx/os2/checklst.h"
#endif
each of theese files contains the declaration of wxCheckListBox.
I've checked the #defines in the build options - __WXMSW__ is defined. I don't understand what the problem is...