To use any kind of exception support in the library you need to build it with wxUSE_EXCEPTIONS set to . This should be the case by default but if it isn't, you should edit the include/wx/msw/setup.h file under Windows or run configure with -enable-exceptions argument under Unix.
On the other hand, if you do not plan to use exceptions, setting this flag to or using -disable-exceptions could result in a leaner and slightly faster library.
As for any other library feature, there is a sample showing how to use it. Please look at its sources for further information.