Many modern mice and keyboard have more or less useful fancy extra buttons, like forward and backwards buttons used when browsing the Internet. Unfortunately, the hardware manufacturers haven't agreed on a standard for handling these mice, which makes it hard for application programmers to add support for such buttons.
These drivers emit key combinations; alt+numpad right for forward, alt+numpad left for backwards. To handle this, you just need a handler for wx.EVT_CHAR:
Microsoft has documented their behaviour very well. See for example this article from MSDN. They defined a few new windows messages for this. To handle these messages I think you need to hook into the raw windows message flow (see HookingTheWndProc). I'm not an expert on wxPython, so I don't know if there's a better way of doing it. The message you need to detect is the WM_APPCOMMAND, which has the numerical ID 0x0319.
I have no idea how to implement similar behaviour on linux, but feel free to add that. Or if you have a better way of handling the WM_APPCOMMAND.