Seems like many people hit this and there seems to be no solution that I can find.
Follow exact instructions, downloaded precompiled libs, v 3.0.5 - latest stable build
set wxwin env var
make new 32bit empty project
copy the hello world app into new source file
set additional include
set preproc defintions -> UNICODE & _UNICODE on
set linker libs
build ->
1>------ Build started: Project: wxtest, Configuration: Debug Win32 ------
1>Source.cpp
1>c:\work\wxwin\include\wx\wxcrt.h(487): error C3861: 'wxStrcoll': identifier not found
1>c:\work\wxwin\include\wx\wxcrt.h(487): message : 'wxStrcoll': function was not declared in the template definition context and can be found only via argument-dependent lookup in the instantiation context
1>c:\work\wxwin\include\wx\wxcrt.h(496): message : see reference to function template instantiation 'int wxStrcoll_String<const wchar_t*>(const wxString &,const T &)' being compiled
1> with
1> [
1> T=const wchar_t *
1> ]
1>Done building project "wxtest.vcxproj" -- FAILED.
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========
Unfortunately you need to manually modify the header to fix the build with MSVS 2019 in 3.0.5 and remove defined(__VISUALC__) || part of the check before wxNEEDS_DECL_BEFORE_TEMPLATE definition in wx/wxcrt.h.
FWIW this problem was fixed since a long time (~6 years) in wx 3.1 and you can compile 3.1.3 or the soon to be released 3.1.4 out of the box with MSVS 2019.