Instances of wxDialog can also be used for controls and they have the advantage of not requiring a separate frame.
You never draw directly onto a window - you use a device context (DC). wxDC is the base for wxClientDC, wxPaintDC, wxMemoryDC, wxPostScriptDC, wxMemoryDC, wxMetafileDC and wxPrinterDC. If your drawing functions have wxDC as a parameter, you can pass any of these DCs to the function, and thus use the same code to draw to several different devices. You can draw using the member functions of wxDC, such as wxDC::DrawLine and wxDC::DrawText. Control colour on a window (wxColour) with brushes (wxBrush) and pens (wxPen).
To intercept events, you add a wxDECLARE_EVENT_TABLE macro to the window class declaration, and put a wxBEGIN_EVENT_TABLE ... wxEND_EVENT_TABLE block in the implementation file. Between these macros, you add event macros which map the event (such as a mouse click) to a member function. These might override predefined event handlers such as for wxKeyEvent and wxMouseEvent.
Most modern applications will have an on-line, hypertext help system; for this, you need wxHelp and the wxHelpController class to control wxHelp.
GUI applications aren't all graphical wizardry. List and hash table needs are catered for by wxList and wxHashMap. You will undoubtedly need some platform-independent Files and Directories, and you may find it handy to maintain and search a list of paths using wxPathList. There's many Miscellaneous of operating system methods and other functions.