Document how to build wxWidgets with liblzma support

Explain what needs to be done under MSW in order to use LZMA compression
classes.

interface/wx/lzmastream.h

@@ -30,6 +30,9 @@
     }
     @endcode
 
+    See @ref page_build_liblzma for information about liblzma, required in
+    order to use this class.
+
     @library{wxbase}
     @category{archive,streams}
 
@@ -69,6 +72,9 @@ public:
     is compatible with xz utilities working with .xz files and also supported
     by 7-Zip program, even though it is different from its native .7z format.
 
+    See @ref page_build_liblzma for information about liblzma, required in
+    order to use this class.
+
     @library{wxbase}
     @category{archive,streams}