His remark is related to the fact that some compilers (linkers to be exact) aren't able to link when a dll is given on the command line. They need special import libraries.
So his suggestion is useful, because if you have no idea about the capabilities of your compiler you're going to suffer a lot and you'll have to always ask for help at random forums and possibly be ignored.
If you're using a mingw based compiler and the dll is compatible with your compiler, just add the dll to the list of linked libraries, adjust the search paths and you should be able to link it.
If it doesn't work. Post full rebuild log, but first read compiler/linkers manual how it is supposed to work in your case.
Probably reading this first might help:
http://wiki.codeblocks.org/index.php/FAQ-Compiling_(errors)#Q:_What_do_I_need_to_know_when_using_3rd_party_libs.3FAlso keep in mind that IDEs save time if you know what you're doing. If you expect to click buttons at random and get the result you're after - you'll be disappointed and you'll suffer a lot.