Since your post does not contain anything like "no such file" (and I trust you would have posted that), we can assume that the linker actually finds the library, so it is not a path problem.
Therefore, it could be a function name problem (Unicode/non-Unicode, etc). Have you made sure you're using the correct build flags (as they would come from sdl-config)?
If nothing helps, it may help to compile your project once more with Dev-CPP and to look at the commandline shown in the log window. Very likely, you will see one or two constants (commandline parameter starting with -D)that aren't in present in the build when you use Code::Blocks. Add them, and you'll very likely be fine.