I would recommend you just use the SDL wizard, instead of tampering with all that stuff yourself, if you aren't comfortable yet.
The wizard should set up everything so it works (I haven't done anything SDL for about a year now, but a year ago, it worked fine). The instructions for Visual Studio obviously won't help much. Whether or not you need to copy a .dll depends on the SDL build that you use.
Please do note that although there is a wizard for SDL projects, the required headers and libraries do not ship with Code::Blocks, so you will have to download those in order to be able to build SDL applications.
We have a Wiki page on how to build SDL applications too (it's almost two years old, but most things should still be more or less the same).