GLFW (I don't know if you are using it, since you mentioned only glut) can be downloaded here -
http://www.glfw.org/Code::Blocks is asking for the directory where you have extracted the GLFW archive. You can navigate to the path and set the location directly in the wizard - or there is a second way,
set it with global variables.
You can find global varibles in Code::Blocks -> Settings -> Global variables, which opens an editor for global variables. You can create a new variable (the second row New button), and call it "glfw", or "boost" or any
other name for your favourite libraries/packages. Then you just set the base directory location where the library/package can be found.
You can then use the
variable expansion to let Code::Blocks fill up the paths for you. Example can tell it better:
You create new global variable named "glfw". You set base to the directory where you extracted the archive, let's say "c:/libraries/GLFW" (or similar linux path), and now you can use $(#glfw). It tells Code::Blocks use variable expansion, and use global variable glfw. You might then see (put) $(#glfw.include) in project's includes. Code::Blocks will automagically expands it to "c:/libraries/GLFW/include" when it will pass it to compiler. For more info about the global variables see
http://wiki.codeblocks.org/index.php?title=Global_compiler_variables
