Eg.
Set:
WX_DIR = c:\wx261
WX_CFG = gcc_dll
WX_BUILD = msw
And
use this as the path to include/lib in global compiler setttings
$(WX_DIR)\lib\$(WX_CFG)\$(WX_BUILD)
close the code:blocks and re-open it
it will turn into
$(WX_DIR)\lib$(WX_CFG)$(WX_BUILD)
with all the "\" gone, I also tried to use "/", doesn't help.