I just had this very problem and as a noob it took me a bit of searching to find out what was going on.
First and foremost thanks to Lethn who's post on here actually answered the question in a straight-forward way.
Here is a quote direct from his post his simple post solved my problem after I'd spent an hour trying to figure out what was going on and coming to the conclusion I'd have to recompile for my system.
Here's the solution quoted by Lethn:
Okay, It took me awhile to figure it out but as the tutorial says Codeblocks seems to use the SJLJ version of SFML but I'll have a minor rant about that after showing people what to do and see if this helps fix this problem.
1) Download the GCC 4.7 TDM (SJLJ) version of SFML 2.0 ( NOT GCC 4.7 MinGW (DW2) - 32 bits ) and follow the tutorial as normal
2) Be sure to copy the .dll files to the saved codeblocks project folder that you have
Note: I did this without having to use CMake at all and in the end Codeblocks seems to work fine with the SJLJ version of SFML 2.0, I was getting .dll errors and entry procedure errors until I tried this.
I followed these steps myself having had an annoying number of problems getting it to work after following the tutorial normally, to an absolute beginner the SJLJ/DW2 business isn't very clearly explained. I looked in MINGW's Bin folder and found libgcc_s_sjlj-1.dll and libgcc_s_dw2-1.dll files and just through randomness I tried downloading the SJLJ version instead and followed the steps again. It worked and so far there hasn't been any crashes or error messages. Such a simple solution why is this not given more prominence in the installation walk through, trying to weed out the noobs
Thanks Lethn, everything works just fine now.
Z