gcc under Windows cant handle the SQLite3 amalgamation file in debug mode.
However, since you are probably NOT going to debug sqlite3 itself, compile it without -g and it will work fine.
I am not sure if codeblocks provides an option to set a different build options per file ( I am sure that one of C::B gurus can answer that, or maybe try searching the forum), even if it does not provide compile options per file, you can still workaround it by creating a new project just for the sqlite3.c/h files, remove the -g option from this project (for the Debug target) and create a dependency between the two projects.
If codeblocks does provide build options per file, simply remove the -g flag from sqlite3.c file.
Eran