Create the config directory at first launch

First launch would fail because wx does not create the configuration
directory by itself if it does not exist.
This also fixes an incorrect menu option.

src/wx/cmdevents.cpp

@@ -2608,7 +2608,7 @@ EVT_HANDLER(SpeedOn, "Enable faster network protocol by default")
 
 EVT_HANDLER(LinkProto, "Local host IPC")
 {
-    GetMenuOptionConfig("LinkProto", config::OptionID::kGBALinkHost);
+    GetMenuOptionConfig("LinkProto", config::OptionID::kGBALinkProto);
 }
 
 EVT_HANDLER(LinkConfigure, "Link options...")

src/wx/wxvbam.cpp

@@ -406,6 +406,11 @@ bool wxvbamApp::OnInit() {
                                        config_file_.GetFullPath(),
                                        wxEmptyString, wxCONFIG_USE_LOCAL_FILE));
 
+    // wx does not create the directories by itself so do it here, if needed.
+    if (!wxDirExists(config_file_.GetPath())) {
+       config_file_.Mkdir(wxS_DIR_DEFAULT, wxPATH_MKDIR_FULL);
+    }
+
     // Load the default options.
     load_opts(!config_file_.Exists());