Yes, the official release builds have no package for the MinGW 4.9.2 compiler that is shipped with the latest Code::Blocks version.
The best way to go about it is to build SFML on your own with CMake. Learning how to build libraries is essential when developing in C++.
Alternatively you can take a
snapshot build from master which we've already switch to MinGW 4.9.2 that is shipped with Code::Blocks.
Since you say you're new to most of these things, I highly recommend you get yourself familiar with what a compiler is, what a linker is and how everything around that works.