a question on wxHtmlWindow

I want to pack a .html file and associated files which are used by the
html file,such as .jpg and .js to a zip file or some other
formats.

You can use the HTML window as a help facility. That actually packs
all the files together into a file with extension of .htb which
actually just a zip file.

If you want to experiment, try helpblocks http://www.helpblocks.com/
HelpBlocks is written by Julian Smart who is the original author of
wxWindows. You can preview your content both as HTML Help (Windows
only) or wxWindows help (all platforms).

Note that the wxHtmlWindow doesn't support javascript.

Roger