You will find that developing wxPython programs in IDLE is a bit of a headache. Because IDLE is made using Tkinter, it has its own main loop. This causes some weird erratic crashes to happen when you try running you wxPython program. I’ve run some of my scripts quite happily in IDLE and then the next day, they won’t run at all. I would highly recommend using a different developing environment, such as Wing or Editra. If you must use IDLE, then be sure to run your scripts from the command line instead of within IDLE itself.
As to your question, were you able to actually import wx successfully? Try doing the import in the interpreter session either in IDLE or via the command line version of the interpreter.