DOS makefiles for Microsoft C++ are supplied (called makefile.dos). makefile.nt files are supplied for Windows NT with the Microsoft compiler.
Borland .prj files are supplied for Turbo C++ for Windows (unfortunately they are incompatible with Borland C++), and untested Borland C++ makefiles are included in the contrib directory.
For Microsoft C++, normally it is only necessary to type nmake -f makefile.dos (or an alias or batch file which does this). By default, binaries are made with debugging information, and no optimization. Use FINAL=1 on the command line to remove debugging information (this only really necessary at the link stage), and DLL=1 to make a DLL version of the library, if building a library.
It is recommended that CTL3D is used under Windows, since the 3D effect are good-looking and will be standard. Howver, the default for wxWindows is not to use it. If you want to use it and don't already have CTL3D installed, copy the files in contrib/ctl3d to appropriate places (ctl3d.lib into your compiler lib directory, ctl3d.h into an include directory, and ctl3d.dll into windows/system). Define CTL3D in your makefile or project file for the Windows-specific wxWindows source, and link your executables with CTL3D.LIB.