The setup.h problem can occur with some of the samples. If you get

--------------------Configuration: dialogs - Win32 Debug--------------------
Compiling resources...
Compiling...
dialogs.cpp
..\..\include\wx/platform.h(85) : fatal error C1083: Cannot open include file: 'wx/setup.h': No such file or directory
Error executing cl.exe.

Then add to the VC++ include dir:
C:\Program Files\wxWidgets-2.8.7\lib\vc_lib\mswd