No offense, but if you would take the time to read entirely through wxWidgets' own documentation on setting things up, you'd find your answer. Also, not only is this detailed information available in the included documentation and on the wxWidgets Wiki; there are entries in the Code::Blocks Wiki and even stickied posts in the C::B forums regarding the process.
Event with all this free, easily findable and well-written information floating around, I still find myself typing long winded explanations to people who come along asking how to get wxWidgets working (you'll find them if you do a forum search). Well, let's keep this one simple.
Make sure $(#WX.lib)\gcc_dll\msw is in your compiler directories. Better yet, run the wxWidgets project wizard, which will hold your hand every step of the way.
wxWidgets is a complex beast. This I know and will readily admit. Take the time to become familiar with it, and it will at least get the job done.