Running dpkg is the same as running apt-get or aptitude or synaptic...
You need to be a super user to install something.
Aptitude and synaptics can allow you to become admin by asking you the pass.
But with the vast majority of command line tools, you will have to become admin before.
Ubuntu give the "sudo" command for this, or you may prefer (as I) "su".
Your command should be:
sudo dpkg -i codeblocks_10.05-1_i386.deb
But that will probably fail too, because other packages could be absent.
If all packages are in your directory and there are no other, you can use:
To be faster.
Else, you will have to precise all packages manually, like this:
sudo dpkg -i codeblocks_10.05-1_i386.deb another_12.34-5_arch.deb package_23.45-6_arch.deb
Obviously, replace the 2 I added which are fictive by the real ones.
BTW you should really read some docs about CLI and posix privileges... the error message is really easy to understand...
PS: I love this image oBFusCATed... Will put it in favorites as a nice tool