Last night, I installed wxWidgets 2.9.1 on my Ubuntu 10.04. It all went well, and it works:

david@DavidPC:~$ wx-config --version
2.9.1
david@DavidPC:~$

It was installed. Now I want to make my first GUI program, and used this code:

/*
 * hworld.cpp
 */

#include "wx/wx.h"

class MyApp: public wxApp
{
    virtual bool OnInit();
};

class MyFrame: public wxFrame
{
public:

    MyFrame(const wxString& title, const wxPoint& pos, const wxSize& size);

    void OnQuit(wxCommandEvent& event);
    void OnAbout(wxCommandEvent& event);

    DECLARE_EVENT_TABLE()
};

enum
{
    ID_Quit = 1,
    ID_About,
};

BEGIN_EVENT_TABLE(MyFrame, wxFrame)
    EVT_MENU(ID_Quit, MyFrame::OnQuit)
    EVT_MENU(ID_About, MyFrame::OnAbout)
END_EVENT_TABLE()

IMPLEMENT_APP(MyApp)

bool MyApp::OnInit()
{
    MyFrame *frame = new MyFrame( _("Hello World"), wxPoint(50, 50),
                                  wxSize(450,340) );
    frame->Show(true);
    SetTopWindow(frame);
    return true;
}

MyFrame::MyFrame(const wxString& title, const wxPoint& pos, const wxSize& size)
: wxFrame( NULL, -1, title, pos, size )
{
    wxMenu *menuFile = new wxMenu;

    menuFile->Append( ID_About, _("&About...") );
    menuFile->AppendSeparator();
    menuFile->Append( ID_Quit, _("E&xit") );

    wxMenuBar *menuBar = new wxMenuBar;
    menuBar->Append( menuFile, _("&File") );

    SetMenuBar( menuBar );

    CreateStatusBar();
    SetStatusText( _("Welcome to wxWidgets!") );
}

void MyFrame::OnQuit(wxCommandEvent& WXUNUSED(event))
{
    Close(TRUE);
}

void MyFrame::OnAbout(wxCommandEvent& WXUNUSED(event))
{
    wxMessageBox( _("This is a wxWidgets Hello world sample"),
                  _("About Hello World"),
                  wxOK | wxICON_INFORMATION, this);
}
My question being, how to compile it?

When I go to the console and type g++ helloWorld.cpp I get:

g++ helloWorldGUI.cpp
helloWorldGUI.cpp:5:20: error: wx/wx.h: Ficheiro ou directoria inexistente
helloWorldGUI.cpp:8: error: expected class-name before ‘{’ token
helloWorldGUI.cpp:13: error: expected class-name before ‘{’ token
helloWorldGUI.cpp:16: error: ISO C++ forbids declaration of ‘wxString’ with no type
helloWorldGUI.cpp:16: error: expected ‘,’ or ‘...’ before ‘&’ token
helloWorldGUI.cpp:18: error: ‘wxCommandEvent’ has not been declared
helloWorldGUI.cpp:19: error: ‘wxCommandEvent’ has not been declared
helloWorldGUI.cpp:21: error: ISO C++ forbids declaration of ‘DECLARE_EVENT_TABLE’ with no type
helloWorldGUI.cpp:22: error: expected ‘;’ before ‘}’ token
helloWorldGUI.cpp:22: error: expected ‘;’ before ‘}’ token
helloWorldGUI.cpp:30: error: ‘wxFrame’ has not been declared
helloWorldGUI.cpp:31: error: expected constructor, destructor, or type conversion before ‘EVT_MENU’
helloWorldGUI.cpp:46: error: ISO C++ forbids declaration of ‘wxString’ with no type
helloWorldGUI.cpp:46: error: expected ‘,’ or ‘...’ before ‘&’ token
helloWorldGUI.cpp: In constructor ‘MyFrame::MyFrame(int)’:
helloWorldGUI.cpp:47: error: class ‘MyFrame’ does not have any field named ‘wxFrame’
helloWorldGUI.cpp:47: error: ‘NULL’ was not declared in this scope
helloWorldGUI.cpp:47: error: ‘title’ was not declared in this scope
helloWorldGUI.cpp:47: error: ‘pos’ was not declared in this scope
helloWorldGUI.cpp:47: error: ‘size’ was not declared in this scope
helloWorldGUI.cpp:49: error: ‘wxMenu’ was not declared in this scope
helloWorldGUI.cpp:49: error: ‘menuFile’ was not declared in this scope
helloWorldGUI.cpp:49: error: expected type-specifier before ‘wxMenu’
helloWorldGUI.cpp:49: error: expected ‘;’ before ‘wxMenu’
helloWorldGUI.cpp:51: error: ‘_’ was not declared in this scope
helloWorldGUI.cpp:55: error: ‘wxMenuBar’ was not declared in this scope
helloWorldGUI.cpp:55: error: ‘menuBar’ was not declared in this scope
helloWorldGUI.cpp:55: error: expected type-specifier before ‘wxMenuBar’
helloWorldGUI.cpp:55: error: expected ‘;’ before ‘wxMenuBar’
helloWorldGUI.cpp:58: error: ‘SetMenuBar’ was not declared in this scope
helloWorldGUI.cpp:60: error: ‘CreateStatusBar’ was not declared in this scope
helloWorldGUI.cpp:61: error: ‘SetStatusText’ was not declared in this scope
helloWorldGUI.cpp: At global scope:
helloWorldGUI.cpp:64: error: variable or field ‘OnQuit’ declared void
helloWorldGUI.cpp:64: error: ‘wxCommandEvent’ was not declared in this scope
helloWorldGUI.cpp:64: error: ‘event’ was not declared in this scope
helloWorldGUI.cpp:64: error: ‘WXUNUSED’ was not declared in this scope
helloWorldGUI.cpp:69: error: variable or field ‘OnAbout’ declared void
helloWorldGUI.cpp:69: error: ‘wxCommandEvent’ was not declared in this scope
helloWorldGUI.cpp:69: error: ‘event’ was not declared in this scope
helloWorldGUI.cpp:69: error: ‘WXUNUSED’ was not declared in this scope
david@DavidPC:~/Documentos/C++$

No idea why though

Like graphmastur said, you need to tell the compiler where the wx headers are. That's actually pretty easy since it looks like you're using a Linux system. To do this, run the following commands:
g++ -c `wx-config --cxxflags` helloWorldGUI.cpp
g++ -o helloWorldGUI helloWorldGUI.o `wx-config --libs`
The first command compiles your source file helloWorldGUI.cpp and creates the object file helloWorldGUI.o. The "wx-config --cxxflags" command tells g++ where the wx headers are.

The second command links the object file helloWorldGUI.o into an executable file named helloWorldGUI. The "wx-config --libs" command tells g++ where the wx libraries are.

Both of the wx-config commands above print out the appropriate flags for the compiler/linker (g++), and they are put inside backticks `` so their output is inserted directly into the g++ command lines.

EDIT: jimbauwens makes a good point in the post after mine. Make sure you have the dev or devel version installed, and then you can run the commands above.

I tried christop's code too (as said in the tutorial) but I get the same error as if I tried 'g++ hworld.cpp', hence I thought it didn't make a difference. I will try other codes later

He did, in his first post : Ubuntu 10.04

I finally did it, and it's working well =D Thanks.