WSL is the preferred route, but you can also use MSYS2 (MINGW64) to compile. For each instruction copy and paste the contents into the MING64 console. Get MSYS2 ...

The puropse is tool is to allow easy integration between IDEs and wxWidgets installed via MSYS2 pacman from the mingw64 repository. Usually, you will install wxWidgets via pacman using commands ...