Thanks a lot for your quick and detailed response.
Yes, I followed those pgAdmin building instructions from the INSTALL file. But I struggled (including discovering that vcbuild has been replaced with msbuild with incompatible switches...) with that stuff for a couple of days and gave up, and was hoping the wxWidgets binaries+headers would be the way to go. I am getting much further with this approach but still failing at the end.
I'm using Visual Studio 2010 Professional (running on 64bit Win 7); not sure if that is a problem. I have noticed that at wxWiki (http://wiki.wxwidgets.org/Microsoft_Visual_C%2B%2B_Guide) they recommend using VC++ 2008 Express edition which, as you pointed out, is not so easy to find anymore.
But as I said, currently my build fails since 'wxbase28u.lib' is not there. However, 'wxbase29u.lib' is there (because I'm using the 2.9.4 binaries, I assume), but I just don't know why the linker is looking for the 28 version and not the 29 version, and how to change this...