Shouldn't you change your compiler setting to include SFML's headers instead of copying them?
I don't use Code::Block so I'm not sure but here should be a place where you can add compiler switches. Just add -I<path to SFML headers>
Ahh, you need to add the OpenGL libraries to your linker. In the same place in your IDE where you added the sfml-window.lib sfml-system.lib ect., try adding:
opengl32.lib
glu32.lib
Do this by adding -lopengl32.lib -lglu32.lib to your linker setting page.