Thanks for the quick answer.
Let me explain what I did to set Code:Blocks up.
First, I downloaded the automated setup of mingw which it got installed with no additional packages at all besides: mingw-runtime, w32api, binutils, gcc-core.
Then I downloaded the Code:Blocks 1.0rc2 installer which I also installed with no additional packages at all.
When I first run Code:Blocks it asked me for the compiler to use and I picked Gnu GCC. I also changed the path of the programs to match the one I picked.
Now whenever I click on Settings -> Compiler I get to see the following image:
I can't see where to configure what thomas has suggested and I can't see "Toolchain executables" at all.
I feel that I must also have mingw32-g++ installed so that I can compile a C program, Code:Blocks will compile it with the -c flag, but I believe this is not needed so I am working on it.