Where did you download that? wxMSW-2.8.10-Setup.exe is sourcecode only

I got wxMSW-2.8.10.zip from http://www.wxwidgets.org. As you say, it's source only. The "pre-built wxMSW" I was referring to was the library that I then built myself (from that source, in the msys shell) before trying to install Alien::wxWidgets-0.44.

It seems that this may be part of the problem - and that I'd be better off building in the cmd.exe shell with mingw32-make -f makefile.gcc, or just removing msys from my path (as already suggested) and letting the Alien::wxWidgets-0.44 build process handle all it for me.
I'll be giving this a try when I get a chance.

Cheers,
Rob