setup.h is in another location, in my case I installed wx in /opt/wx, and they were here:
INCLUDEPATHS= \
-I"/opt/wx/include/wx-2.9" \
-I"/opt/wx/lib/wx/include/gtk2-unicode-2.9"
For you it is probably:
INCLUDEPATHS= \
-I"/usr/local/include/wx-2.9" \
-I"/usr/local/lib/wx/include/gtk2-unicode-2.9"