I downloaded and installed this version of wxPython for use with my Python 2.6 installation:
http://downloads.sourceforge.net/wxpython/wxPython2.8-win32-unicode-2.8.
I too have the same issue.Better install "Portable Python" IDE which comes with some nice modules including wxPython .You can start coding GUI immediately without the need to download a separate wxPython.The link , http://www.portablepython.com/