Do you have a question about makefiles, a compiler or IDE you are using and need to know how to set it up for wxWidgets or why it doesn't compile but other IDE's do ? Post your questions here.
What is wrong is that MSVS has no idea about wxWidgets classes (how they are implemented for various platforms) and when using the generic add class template (as opposed to an MFC, ATL etc. one) it tries to guess the file where the base class resides. I tried a couple of classes and it always guessed wrong for wxDialog and wxFrame, using a platform-specific header file (GTK, univ...) instead of the proper one.
I assume you just have to live with it and correct the generated include path.