This file is part of MXE.
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This patch has been taken from:
http://thread.gmane.org/gmane.comp.lib.wxwidgets.general/79996/focus=80025

diff -ur wxWidgets-2.9.5.orig/src/msw/dirdlg.cpp wxWidgets-2.9.5/src/msw/dirdlg.cpp
--- wxWidgets-2.9.5.orig/src/msw/dirdlg.cpp	2013-07-17 01:47:14.000000000 +1000
+++ wxWidgets-2.9.5/src/msw/dirdlg.cpp	2013-10-19 23:19:10.000000000 +1100
@@ -106,11 +106,11 @@
     #define FOS_FORCEFILESYSTEM 0x40
 #endif
 
-struct COMDLG_FILTERSPEC;
+struct _COMDLG_FILTERSPEC;
 
 struct IFileDialog : public IModalWindow
 {
-    virtual HRESULT wxSTDCALL SetFileTypes(UINT, const COMDLG_FILTERSPEC*) = 0;
+    virtual HRESULT wxSTDCALL SetFileTypes(UINT, const _COMDLG_FILTERSPEC*) = 0;
     virtual HRESULT wxSTDCALL SetFileTypeIndex(UINT) = 0;
     virtual HRESULT wxSTDCALL GetFileTypeIndex(UINT*) = 0;
     virtual HRESULT wxSTDCALL Advise(IFileDialogEvents*, DWORD*) = 0;