Without trying (too hard) to assign blame, here is what
I think is going on...
wxWidgets expects to find a file "setup.h" during compile of wxWidgets. This file is not "supplied" by wxWidgets but must be created by the person doing the compiling. wxWidgets provides an example file for those using a Microsoft Visual compiler (VC++ Express is the free version, Visual Studio you pay for)--it is called "setup0.h". The person must edit "setup0.h" as needed then rename it "setup.h" and put it somewhere all the various projects may find it. wxWidgets says to put it in WXWIN/include/wx/msw/; unfortunately they also use statements like:
#include "wx/setup.h"
or
#include <wx/setup.h>
which while subtly different
should result in the same thing. I believe that the instruction to put "setup.h" in WXWIN/include/wx/msw/ is in err--while it really is the proper place for the header for MS VS/VC++ Express, it has a high likelihood of not being found because of the aforementioned "not searching sub-folders" MS bug (which is really a clever marketing tool as it is not a problem in the pay-for version nor its free trial)
*. Anyway, since they use
#include "wx/setup.h"
or
#include <wx/setup.h>
they might just tell us to put it in WXWIN/include/wx/ and resolve the issue.
I do not know what the "proper" solution here is but if you want to keep "setup.h" in WXWIN/include/wx/msw/ where it more properly belongs you will need to go in and teach all the projects which deal with "setup.h" where it can be found. I just checked out a clean SVN HEAD and opened the Properties page of the Audacity Project; looking at the C/C++'s General panel's Additional Include Directories:

- addInc.png (168.15 KiB) Viewed 6622 times
you will see that $WXWINinclude is there but $WXWINincludemsw is not--you will need to add it. Scroll all the way to the bottom of the includes and you will find a blank line--double-click to make that line editable and add $WXWINincludemsw:

- addIncWX.png (13.05 KiB) Viewed 6622 times
You will need to do this for every project in the Audacity solution (maybe even some of the wxWidgets ones) which uses "setup.h" (and maybe "platform.h" too among others).
Now, some might say that the Audacity Developers instructions which says "Copy setup.h to "C:wxWidgets-2.8.12includewxmsw" (referring to an Audacity custom "setup.h") needs thought since they are the ones who created the Audacity solution which neglects to have $WXWINincludemsw as an include folder. I will go out on a limb here and call this a high priority bug against Audacity--especially since it is so easy to fix at the project source level.
* The MS "bug" (or marketing tool) is that the documentation for MS's C++ compiler states that all sub-directories of any "included" directory will be automatically included and, in the case of the pay-for version Visual Studio, this is true. It is also true for the free trial version of MS Visual Studio. It also seems to hold true for VC++ Express (the free version) if you install MS VS (or its free trial) then later install Express! I am guessing it is a Registry setting controlling it or some .ini file.