(Edit: 1 November 2007)
Found out this is a bug of MinGW, and has nothing to do with wxDev-C++ either.
Stumbled into wxDev-C++ problems today, as I tried to compile the template wxWidgets dialog. Refer to my last post about the same old bugs again, and here we got ourself a new problem.
Open up your Compile Log, and there it is:
windows.h: No such file or directory
Another configuration problem, eh? Go to Tools -> Compiler Options -> Directories -> Resource Includes, add this directory.
Problem solved. Hopefully there wont be any pesky config problem anymore. <_<