I'm having this same problem. Been using code::blocks for a while now, just starting SFML.
At first when I tried to create a SFML file under the templates, it opened up this scripted GUI where I had to look for a bunch of things. Without knowing what it was, I located the default SFML folder which was in C: at the time, and moved on. Later to find out that there's an error somewhere so I closed it.
Now when it prompts me to look for SFML's base folder, the GUI based thing doesn't open anymore. I would put the SFML-1.6 folder under C: as the base folder, but it would have the same exact prompt as the original poster's prompt.
Any help would be appreciated. Thank you.
EDIT: I managed to get past that part by moving all the files in the .../include/SFML folder into .../include instead, but there's an error message saying "cannot find -lsfml-audio.dll" in file ld.exe
EDIT #2: I finally managed to get SFML working. It seems like maybe SFML had a new version of file organization where Code::Block's current version doesn't recognize it. I had to use the console application template to follow the SFML tutorial instead. Some of my other problems included weird errors and such, EDIT 1's problem was fixed when I realized I forgot to link the include and lib folders into code blocks through the "Search directories," and the 2nd problem which I didn't state was the error of forgetting -lsfml-system in my other linker options.