Please note that this is out of date. In wxWidgets 2.9.3+, simply open wx_vc9.sln in VS2010, and perform the project conversion, and everything will build correctly.
As some people are experiencing errors when converting the existing project files to MSVC 2010 (including myself), I've put together a set of project files that will compile 2.9.0 properly with no workarounds needed. The most common error people are getting is this:
Microsoft.CppCommon.targets(151,5): error MSB6001: Invalid command line switch for "cmd.exe". The path is not of a legal form.
This is due to how MSVC 2010 handles the Custom Build Tool/Event commandline, which wxWidgets uses when copying the setup.h files. I have fixed this by removing all usage of the Custom Build Tool/Event, and replaced it with a Pre-Build Event which for some reason doesn't have this new behavior. Full details in the readme.txt file inside the attached archive.
Hope it helps
P.S. This has only been tested against the main development snapshot on the downloads page, NOT the daily snapshot.
P.P.S These projects will still generate warnings about $(TargetName) not matching some other variable, but these can be safely ignored.