Since Python is a pseudo-interpreted language, you don't need any “compile” or “make” steps.
wxGlade requires Python version 2.2 or later and wxPython version 2.3.2.1 or later.
The binary versions are stand-alone and don't have any requirement.
You can download wxWidgets from http://www.wxwidgets.org and wxPython from http://www.wxpython.org.
In Microsoft Windows, you only need to install wxPython. wxWidgets is not required.
In a Linux/Unix environment you need to install wxPythonGTK, which usually also requires the wxGTK package. Mandrake Linux 9.2 comes with a libwxPython rpm that works, without installing wxGTK.
If you use apt or yum, just install wxPythonGTK package, and let it resolve the dependencies.