I just tried under Windows XP and it builds fine (you have to copy include/wx/setup_redirect.h to include/wx/setup.h and set wxDIALOG_UNIT_COMPATIBILITY to 0 in include/wx/msw/setup.h).
Oh, didn't it used to be setup0.h?
setup.h worked for me and the wx documentation (e.g. INSTALL-MSW.txt) mentions setup0.h only if you are installing from the CVS version, which I am not as I used the Windows installer. But maybe you are using the CVS version? I don't know enough about wx to be able to clarify this ...
Regards,
Alex
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