i can try (not very good at explaining).
first of you need msys from mingw's site. its a small unix shell environment, install it to the default location c:\msys\1.0 now open up codeblocks hit settings -> compiler and debugger and go to the tab named toolchain executables. besides the program files tab theres another tab called additional paths, open that.
hit the button named add in that tab a small window called add directory will open, theres a small button in it with ... 3 dots hit that one, (its the same as browse) and point it at C:\msys\1.0\bin voila you can now access sh.exe.
if the project is allready setup for using that shell script things should work now, if not you may have to tinker a bit with settings to tell it to run sh.exe on that script.
hope i was clear enough.