Actually, I somehow solved my own problem a few days ago, but forgot to note this up here.
I deleted the wxWidgets folder, reinstalled it, then compiled it according to the directions in a zip file here: http://dev.arqendra.net/#cbnb.
After you have installed wxWidgets, fire up msys, cd to the wxwidgets folder, then run
mingw32-make -f makefile.gcc BUILD=debug UNICODE=1
(Assuming mingw32-make is in your path).
Wait a while (maybe 20 minutes, depending on your computer's processing power).
Repeat this for release i.e.:
mingw32-make -f makefile.gcc BUILD=release UNICODE=1
Next, you have to deal with a quirk by copying \wxWidgets\include\wx\msw\setup.h to \wxWidgets\include\wx.
You can apply other options to your liking.
Also, to "add" wxWidgets to a project in C::B, you can just set up a wxWidgets project, saving you the trouble of adding the right directories (and .a libraries).