Ok, this helps.
You have two choices :
- Install Code::Blocks and a compiler separately (so download codeblocks-10.05-setup.exe, and a compiler of your choice)
- Install Code::Blocks and MinGW + gcc + all the stuff you need (so download codeblocks-10.05mingw-setup.exe which contains a compiler etc...)
Both are available on the download page : http://www.codeblocks.org/downloads/26
If you have installed codeblocks-10.05mingw-setup.exe, you already have GCC/G++ installed.
For SDL, I recommend you to look at the official site and at their FAQ.