I had followed exactly these instructions that you have listed, and the error occurred. I have never before downloaded or installed a nightly build. I have also tried downloading and installing this on another PC (which we keep in a "clean" state for development purposes), and got the same error upon starting Codeblocks, namely, that it cannot find the file wxmsw26u_gcc_cb.dll. But this file is right there in the Codeblocks directory!
Zahid