wxWindows

I''m trying to learn how to create windows UIs, so I found out about this library called wxWidgets. It looked really cool because you can write platform independant applications. I also thought it was a good alternative to MFC. So I downloaded the source and all, but I''m running into problems. I''m using Visual Studio 2003 Professional. I have never compiled 3rd party libs and I''m totally lossed on how to get this to work under VStudio 2003. I''ve read the documentation, but i just can''t understand on how to compile everything. I believe I''ve managed to compile a few librarys, but no DLLs were created. Or at least, I can''t see them. Can someone please explain me in simple steps how to build all libs and create all the DLLs. Can you also explain how to setup VStudio to use the librarys? Maybe a VERY simple piece of code on how to set up my first project would be great! Thanks in advance! (Sorry for my bad english :S)