In C++, what is wx.h?

What is wx.h

It is the header file of a library. The GitHub project should have some instructions on how to fetch the dependencies and how to install them.

How do I install it in my compiler so that I can use it?

Normally you have to download the dependency, build it (following some instructions), and then you need to use the header in your project and link the library. The exact steps depend on each library and each compiler.

Do I need to change my compiler or DEV C++ would do fine?

In principle, no. Some libraries only work with some compilers, though.

Note that Dev-C++ is not a compiler, it is an IDE that comes with a port of GCC (as far as I know).

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