Yes, it says to move it into the /lib directory of my Code::Blocks installation, however there is NO CodeBlocks/lib, however there is a CodeBlocks/MinGW/lib, so I assumed it was supposed to go there.
And even if that is not the case, I have added the paths of the \include and \lib to the Search directories in the Code::Blocks compiler settings and it still does not work.
Edit: I also added the SFML_DYNAMIC to the #defines tab of the Compiler settings, still.. To no avail.
Edit 2:Not sure exactly what is going on. It's getting late here and I need to get up early in the morning. I will just re-install and re-do everything exactly as the tutorial, and see how that goes. I may have just over looked something. I will post back tomorrow with what happens, thanks for your help!