#49433: make (e=2): The system cannot find the file specified.

msys make/sh are interfering, you need mingw32-make only

Alien-wxWidgets-0.44>move C:\msys\1.0\bin\make.exe C:\msys\1.0\bin\mak
+e.exe-crap
Alien-wxWidgets-0.44>move C:\msys\1.0\bin\sh.exe C:\msys\1.0\bin\sh.ex
+e-crap
Alien-wxWidgets-0.44>perl Makefile.PL && dmake
[download]

Later you restore sh.exe (if you want msys to work).

To compile wxwidgets manually

wxMSW-2.8.10\build\msw>mingw32-make -f makefile.gcc
[download]