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.
If you want your widgets application to be able to show correct Chinese Characters, make sure your system has been changed to Simplified Chinese or Traditional Chinese. On Win XP->Settings->Control Panel->Regional and Language Options, change your system to Chinese, make sure you have Chinese fonts installed. (If you don't understand Chinese, you may not be able to change it back )
Or you could change to Chinese System easily if you have a Mac.
If you are using a vanilla wxDevcpp install then you are using an ANSI build. Download and install the Unicode release devpak from this thread and then try again.
If it works with Visual C++ in Unicode mode, then it's indeed an Unicode issue. Installing a Unicode devpack for wxDevCpp should make it work there, too. I honestly don't know why you are getting this error message, so I propose you ask for help in the wxDevCpp subforum on this board.
my devpaks (see the wxDev-C++ for Visual C++ thread in the wxDevC++ forum) are built with Unicode support, you can use them. But please read the readme in the thread.