What you need to download depends on what you want to do.
First of all, you have to decide whether to use the RC2 version or a recent build (look at the BerliOS site). I would suggest the latter, but it's your decision. Nightly builds are a lot better in every respect, but some people don't feel well with using nightly builds.
Next, Code::Blocks works with many compilers, not only just MinGW. There is nothing wrong with MinGW at all, it is a very good compiler, but it is not necessarily what everyone wants.
If you
do want to use the MinGW compiler, then you will obviously have to download that
Otherwise, download and install whatever compiler you intend to use.
If it is MinGW that you want, the easiest way will be to use their installer:
http://sourceforge.net/forum/forum.php?forum_id=586329The installer did have some issues until recently, but those are said to be fixed by now.