For Linux, be sure about you are installed wxWidgets.
Than extract the wxHexEditor
tar xvf wxHexEditor-v<version>-src.tar.bz2
cd wxHexEditor
make OPTFLAGS="-fopenmp"

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For Windows, I use Linux to cross-compile Windows executable via MinGW.
This is how I compile.
Firstly I compile wxWidgets library with cross compiler:

tar xvf wxWidgets-2.8.12.tar.bz2
cd wxWidgets
mkdir release
cd release
../configure --enable-{monolithic,static,unicode} --disable-{debug,shared} --host=i686-w64-mingw32
make

Than extract the wxHexEditor

tar xvf wxHexEditor-v<version>-src.tar.bz2
cd wxHexEditor
make win WXCONFIG=<wx-congif path> HOST=i686-w64-mingw32

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For MacOSX, you need to compile wxWidgets via:

tar xvf wxWidgets-2.8.12.tar.bz2
cd wxWidgets
mkdir release
cd release
arch_flags="-arch i386"
../configure CFLAGS="$arch_flags" CXXFLAGS="$arch_flags" CPPFLAGS="$arch_flags" LDFLAGS="$arch_flags" OBJCFLAGS="$arch_flags" OBJCXXFLAGS="$arch_flags" --with-macosx-version-min=10.6 --with-macosx-sdk=/Volumes/Xcode/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.6.sdk/ --enable-monolithic --enable-static --disable-debug --disable-shared --with-regex=builtin --with-expat=builtin --enable-unicode

than extract the wxHexEditor as: 

tar xvf wxHexEditor-v<version>-src.tar.bz2
cd wxHexEditor
make mac WXCONFIG=<wx-config path> OPTFLAGS="-arch i386"

Thats all.
