Assuming that wxWidgets are - on windows - simple wrappers around the corresponding windows controls, to get the new XP theming enabled you need to add a manifest to your project that lists the common control dll version 6 as a dependent assembly.
Visual Studio has a #pragma directive to allow programmers to easilly insert dependencies in their manifests. Place the following in a cpp or header file.
#pragma comment(linker,"/manifestdependency:\"type='win32' "\
"name='Microsoft.Windows.Common-Controls' "\
"version='6.0.0.0' "\
"processorArchitecture='x86' "\
"publicKeyToken='6595b64144ccf1df' "\
"language='*' "\
"\"")
If you are using a different build environment, then you need to follow that environments rules for creating a manifest file, and adding it as a resource to the exe file.