My guess is that you are not linking to the wx libraries. I'm not familiar with that particular class, but it sounds like it is part of the wxWidgets library. I don't remember the name of those libraries offhand, but if I remember correctly, there is a config script you can use to get the proper compiler and linker flags.
Edit: Or perhaps you are linking other wx libraries, but not the one that contains wxMediaCtrl. Here's a list of all the wxWidget librares.
http://www.wxwidgets.org/manuals/2.6...#librarieslist
