In a nutshell, you can get started compiling and running your project from within DialogBlocks like this:
 
 
Install a suitable compiler, such as MinGW (http://www.mingw.org). See also How to find tools to use with DialogBlocks.  
Set the appropriate path in the Paths Settings dialog: for example set MINGWDIR to where you installed Mingw. Also set WXWIN.  
Create standard debug and release configurations, by going to the Configurations Settings dialog, clicking on Standard..., then choosing your compiler and pressing OK.  
If using wxWidgets 2.4.x, make sure the version is specified either in the C++ Settings dialog, or in the wxWidgets version setting of your configuration. The default is wxWidgets 2.5.3.  
Make sure you have an Application element in your project, plus any dialogs and frames, and set the Application element's Main Window property to the id of a suitable dialog or frame.  
Select a configuration in the combobox on the DialogBlocks toolbar.  
If you need to compile wxWidgets, click Build | Build wxWidgets.  
Now click Build | Build Project to generate the makefile and build the project.  
Finally, click Build | Run Project to run your application.