Yeah ! I have setup Visual C++ 2010 to work with wxWidgets. The IDE is superb. Much easier to configure. The executable generated is smaller than the same one generated by MingW gcc.
I tried to compile wxWidgets 2.8.11 with Visual C++ 2010 using the IDE. Unfortunately, the project workspaces ("build\msw\wx.dsw" & "build\msw\wx_dll.dsw") conversion always fail.
The solution is to compile wxWidgets using the following commands in the command line prompt.
> vcvars32.bat
> nmake -f makefile.vc