To build a wicket web application you need to understand the WAR-file layout and what the WEB-INF/lib is all about, otherwise you should go read the Introduction on Java web applications.
The following JAR-files are the bare minimum needed in WEB-INF/lib to
developa a wicket application:
The use of Servlet filters in the web.xml configuration is explained here.
That's it, now go kick the tires!
If you have maven installed there is an archetype that can get you up to speed quickly. See the quickstart
There are descriptions at the Wicket Quickstart on how to set up your favourite development environment.