I configure it like this

./configure --with-msw --enable-debug --enable-debug_gdb --disable-shared --enable-unicode --with-opengl

and when I build it I get this error.

/cygdrive/c/wxwidgets-2.8.10/bk-deps g++ -c -o baselib_appbase.o -D__WXMSW__
-I./src/regex -DwxUSE_GUI=0 -DwxUSE_BASE=1 -D_FILE_OFFSET_BITS=64 -D_LAR
GE_FILES -D__WXDEBUG__ -I/cygdrive/c/wxwidgets-2.8.10/lib/wx/include/msw-unicode
-debug-static-2.8 -I./include -Wall -Wundef -Wno-ctor-dtor-privacy -ggdb -O0 ./s
rc/common/appbase.cpp
In file included from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/string.h:181: error: expected init-declarator before "wxStdString"
./include/wx/string.h:181: error: expected `,' or `;' before "wxStdString"
./include/wx/string.h:714: error: expected `,' or `...' before '&' token
./include/wx/string.h:715: error: ISO C++ forbids declaration of `wxStdString' w
ith no type
./include/wx/string.h:715: error: `wxString::wxString(int)' and `wxString::wxStr
ing(int)' cannot be overloaded
./include/wx/string.h: In constructor `wxString::wxString(int)':
./include/wx/string.h:715: error: `s' undeclared (first use this function)
./include/wx/string.h:715: error: (Each undeclared identifier is reported only o
nce for each function it appears in.)
make: *** [baselib_appbase.o] Error 1

__WXMSW__ ... Don't you've to build them for Unix/Linux? As you can run your applications in X

I think you don't need the Windows Version of wxWidgets, but the wxX11-version (you can grab it from their site) ...

Tried that and configured without msw and got this when I did make

/home/Jarl/wxX11-2.8.10/bk-deps gcc -c -o wxregex_regcomp.o -D__WXMSW__ -D__WX
DEBUG__ -I/home/Jarl/wxX11-2.8.10/lib/wx/include/msw-unicode-debug-static-2.8 -I
./include -Wall -Wundef -ggdb -O0 ./src/regex/regcomp.c
process_begin: CreateProcess(NULL, /home/Jarl/wxX11-2.8.10/bk-deps gcc -c -o wxr
egex_regcomp.o -D__WXMSW__ -D__WXDEBUG__ -I/home/Jarl/wxX11-2.8.10/lib/wx/includ
e/msw-unicode-debug-static-2.8 -I./include -Wall -Wundef -ggdb -O0 ./src/regex/r
egcomp.c, ...) failed.
make (e=3): The system cannot find the path specified.
make: *** [wxregex_regcomp.o] Error 3

Check out this

I tried that when I first started, I just tried it again, and both times(at least I think this happened last time) I got this result

/home/EUNIL/wxWidgets/bk-deps g++ -c -o baselib_appbase.o -D__WXMSW__ -DWXB
UILDING -I./src/regex -I./src/expat/lib -DwxUSE_GUI=0 -DwxUSE_BASE=1 -Wall
-Wundef -Wno-ctor-dtor-privacy -D_FILE_OFFSET_BITS=64 -D_LARGE_FILES -D__WXDEBUG
__ -I/home/EUNIL/wxWidgets/lib/wx/include/msw-unicode-debug-static-2.9 -I./inclu
de -ggdb -O0 ./src/common/appbase.cpp
In file included from ./include/wx/string.h:54,
from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/wxcrtbase.h: In function `wchar_t* wxStrdup(const wchar_t*)':
./include/wx/wxcrtbase.h:641: error: `_wcsdup' undeclared (first use this functi
on)
./include/wx/wxcrtbase.h:641: error: (Each undeclared identifier is reported onl
y once for each function it appears in.)
In file included from ./include/wx/unichar.h:16,
from ./include/wx/strvararg.h:23,
from ./include/wx/string.h:55,
from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/stringimpl.h: At global scope:
./include/wx/stringimpl.h:66: error: expected init-declarator before "wxStdWideS
tring"
./include/wx/stringimpl.h:66: error: expected `,' or `;' before "wxStdWideString
"
./include/wx/stringimpl.h:72: error: `wxStdWideString' does not name a type
./include/wx/stringimpl.h:331: error: expected `,' or `...' before '&' token
./include/wx/stringimpl.h:332: error: ISO C++ forbids declaration of `wxStdStrin
g' with no type
./include/wx/stringimpl.h:334: error: `wxStdString' has not been declared
./include/wx/stringimpl.h: In constructor `wxStringImpl::wxStringImpl(int)':
./include/wx/stringimpl.h:332: error: `impl' undeclared (first use this function
)
In file included from ./include/wx/string.h:55,
from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/strvararg.h: At global scope:
./include/wx/strvararg.h:411: error: ISO C++ forbids declaration of `type name'
with no type
./include/wx/strvararg.h:411: error: missing `>' to terminate the template argum
ent list
./include/wx/strvararg.h:411: error: template argument 1 is invalid
./include/wx/strvararg.h:411: error: expected init-declarator before '&' token
./include/wx/strvararg.h:411: error: expected `;' before '&' token
./include/wx/strvararg.h:438: error: `wxStdWideString' was not declared in this
scope
./include/wx/strvararg.h:438: error: template argument 1 is invalid
./include/wx/strvararg.h:438: error: explicit specialization of non-template `<t
ype error>'
./include/wx/strvararg.h:438: error: ISO C++ forbids declaration of `type name'
with no type
./include/wx/strvararg.h:438: error: missing `>' to terminate the template argum
ent list
./include/wx/strvararg.h:438: error: template argument 1 is invalid
./include/wx/strvararg.h:438: error: expected `{' before "const"
./include/wx/strvararg.h:438: error: expected init-declarator before '&' token
./include/wx/strvararg.h:438: error: expected `;' before '&' token
In file included from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/string.h:993: error: expected `,' or `...' before '&' token
./include/wx/string.h:993: error: ISO C++ forbids declaration of `wxStdWideStrin
g' with no type
./include/wx/string.h:993: error: `wxString::wxString(int)' and `wxString::wxStr
ing(int)' cannot be overloaded
./include/wx/string.h: In constructor `wxString::wxString(int)':
./include/wx/string.h:993: error: `str' undeclared (first use this function)
In file included from ./include/wx/crt.h:18,
from ./include/wx/string.h:3144,
from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/wxcrt.h: In function `size_t wxStrxfrm(wchar_t*, const wchar_t*, si
ze_t)':
./include/wx/wxcrt.h:490: error: `wcsxfrm' undeclared (first use this function)
./include/wx/wxcrt.h: In function `size_t wxStrxfrm(wchar_t*, const wxString&, s
ize_t)':
./include/wx/wxcrt.h:497: error: `wcsxfrm' undeclared (first use this function)
./include/wx/wxcrt.h: In function `size_t wxStrxfrm(wchar_t*, const wxCStrData&,
size_t)':
./include/wx/wxcrt.h:501: error: `wcsxfrm' undeclared (first use this function)
./include/wx/wxcrt.h: In function `long int wxAtol(const wxString&)':
./include/wx/wxcrt.h:753: error: `wcstol' undeclared (first use this function)
./include/wx/wxcrt.h: In function `double wxAtof(const wxString&)':
./include/wx/wxcrt.h:759: error: `wcstof' undeclared (first use this function)
./include/wx/wxcrt.h: In function `double wxStrtod(const wchar_t*, wchar_t**)':
./include/wx/wxcrt.h:767: error: `wcstod' undeclared (first use this function)
./include/wx/wxcrt.h: In function `long int wxStrtol(const wchar_t*, wchar_t**,
int)':
./include/wx/wxcrt.h:833: error: `wcstol' undeclared (first use this function)
./include/wx/wxcrt.h: In function `long unsigned int wxStrtoul(const wchar_t*, w
char_t**, int)':
./include/wx/wxcrt.h:834: error: `wcstoul' undeclared (first use this function)
./include/wx/wxcrt.h: In function `size_t wxStrftime(wchar_t*, size_t, const wxS
tring&, const tm*)':
./include/wx/wxcrt.h:867: error: `wcsftime' undeclared (first use this function)

In file included from ./include/wx/crt.h:19,
from ./include/wx/string.h:3144,
from ./include/wx/memory.h:16,
from ./include/wx/object.h:20,
from ./include/wx/list.h:33,
from ./src/common/appbase.cpp:31:
./include/wx/wxcrtvararg.h:183:30: warning: "HAVE_VSWPRINTF" is not defined
In file included from ./src/common/appbase.cpp:32:
./include/wx/app.h:346:29: wx/unix/app.h: No such file or directory
In file included from ./src/common/appbase.cpp:32:
./include/wx/app.h: In constructor `wxAppInitializer::wxAppInitializer(wxAppCons
ole*(*)())':
./include/wx/app.h:622: error: incomplete type `wxAppConsole' used in nested nam
e specifier
In file included from ./include/wx/utils.h:21,
from ./src/common/appbase.cpp:35:
./include/wx/filefn.h: In function `int wxMkDir(const wxString&, mode_t)':
/usr/include/sys/stat.h:122: error: too few arguments to function `int mkdir(con
st char*, mode_t)'
./include/wx/filefn.h:438: error: at this point in file
In file included from ./src/common/appbase.cpp:42:
./include/wx/evtloop.h:149:33: wx/unix/evtloop.h: No such file or directory
./src/common/appbase.cpp: In constructor `wxAppConsoleBase::wxAppConsoleBase()':

./src/common/appbase.cpp:142: error: invalid static_cast from type `wxAppConsole
Base* const' to type `wxAppConsole*'
./src/common/appbase.cpp: In static member function `static bool wxAppConsoleBas
e::IsMainLoopRunning()':
./src/common/appbase.cpp:350: error: invalid use of undefined type `const struct
wxAppConsole'
./include/wx/app.h:25: error: forward declaration of `const struct wxAppConsole'

./src/common/appbase.cpp: In function `void wxExit()':
./src/common/appbase.cpp:770: error: incomplete type `wxAppConsole' used in nest
ed name specifier
./src/common/appbase.cpp:772: error: incomplete type `wxAppConsole' used in nest
ed name specifier
./src/common/appbase.cpp: In function `void wxWakeUpIdle()':
./src/common/appbase.cpp:783: error: incomplete type `wxAppConsole' used in nest
ed name specifier
./src/common/appbase.cpp:785: error: incomplete type `wxAppConsole' used in nest
ed name specifier
./src/common/appbase.cpp: In function `void wxDoOnAssert(const wxString&, int, c
onst wxString&, const wxString&, const wxString&)':
./src/common/appbase.cpp:840: error: incomplete type `wxAppConsole' used in nest
ed name specifier
./src/common/appbase.cpp:850: error: incomplete type `wxAppConsole' used in nest
ed name specifier
make: *** [baselib_appbase.o] Error 1

Before I let this thread die I'll ask one more question.

Until now I'd forgotten the error I got when I followed the instructions at wxwiki for cygwin since I had tried so many different methods since then. So, does anyone know why I would get this error(first error in the make output)?

./include/wx/wxcrtbase.h:641: error: `_wcsdup' undeclared (first use this functi
on)

Did you actually read this carefully?
The instructions are very clear