I got the following error after compiling and installin app:
error while loading shared libraries: libwx_gtk2_xrc-2.6.so.0: cannot open shared object file: No such file or directory
What directories I have to check?

Whenever I have such an error, I first check if I don't have a more recent version of the library.
ie the .so.1, .so.2, etc file.
To do this, you can try something like:
whereis libwx_gtk2_xrc-2.6.so.0
Or, leave off the '0' at the end.

Secondly, the library seems to be part of the gtk2 package. So you may want to check if it's installed:
rpm -q gtk2
or something like that (if your Linux distro is rpm based).

Or, you can try searching the package that contains this library file.
To accomplish this, go to a site like http://rpmfind.net (again, if your distro supports RPMs) and search
for the lib file there. It will show you the package that contains the file and you can download it from there.
Make sure to download the appropriate version (for your distro/platform).

Also, as root, try /sbin/ldconfig.

This updates the "loader cache" which helps Linux find directory entries quickly. If it's out-of-date you might have problems like these.