If you are using the main C++ distribution of wxWidgets, Feel free to ask any question related to wxWidgets development here. This means questions regarding to C++ and wxWidgets, not compile problems.
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Make sure that the children are really children - that they specify their "parents". When the parent get destroyed, all children get destroyed automatically, too. When you destroy the "main dialog", the whole chain of subordinated dialogs get destroyed as well. No need of individual destroying.