merouen,
Although I am an Allegro user, I recommend that you go to
www.allegro.cc and consult the documentation first which libraries are required to be linked with. After you have done that, consult their forums. Only after you know precisely which libraries you need, and which include files you require, and you are unable to link with these libraries within Code::Blocks, then you come here and ask about Code::Blocks...
PS. If you really want to see some cool development, go do an SVN checkout on the new "unstable" 4.9 branch (Of Allegro)...