There are mainly two problems with gcc on Windows:
- there are too many variants of it, that are of course incompatible with each other; it's a hell to find a match between one's gcc and a precompiled library
- people don't read the SFML tutorials carefully
The TDM (SJLJ) pre-compiled SFML package works out-of-the-box with Code::Blocks 12.11's included MinGW. This is written in red in the "Getting started" tutorial.