Unless you installed a binary version of wxWidgets (e.g. under Linux using your distro's package manager), you will probably have to compile the wxWidgets library before you can start use it.
Please read the platform-specific readme.txt and install.txt for how to do this:
The wxWidgets manual is available in various formats; the availability of the following formats depends on what you've downloaded from the wxWidgets website:
To use the manual in the wxHTML Help format (extension htb), you can use the HelpView application, compiling it from the utils/helpview folder in the wxWidgets distribution.
Also note that beyond the wxWidgets manual there are various other resources which can help to learn wxWidgets programming:
Technical notes contains informations useful only to wxWidgets developers for the maintainance of the project:
Todo List for wxWidgets:
The following are fully-fledged applications which demonstrate some features of wxWidgets (for a list of the 70+ samples please look at the manual):