Is there a link to more information on how to properly setup the properties for that advanced tab menu (the one that says: "Please don't change anything unless you really know what you are doing. You could *really* mess-up Code::Blocks' build system").
This wiki clarified the issue for me:
Adding support for non C/C++ files to the build system
http://wiki.codeblocks.org/index.php?title=Adding_support_for_non_C/C%2B%2B_files_to_the_build_system (http://wiki.codeblocks.org/index.php?title=Adding_support_for_non_C/C%2B%2B_files_to_the_build_system)
I was not able to implement the extension based solution advocated in the wiki (if somebody does, perhaps can share it on this thread), but it gave me a a clue on how to customize the compilation for my fortran file:
Right-click on fortran source file under the "Project View" in the "Fortran Sources" category. Open the "Properties" context menu, under the "Advanced Tab" check the box "Use custom command to build this file" and inserted the following command:
g95 $options $includes -c $file -o $object
Finally, under linker settings for the g++ compiler, in the "Other linker options" I had to add the following lines:
-L/usr/local/lib/gcc-lib/i686-pc-mingw32/4.0.3/
-lf95
-mn0-cygwin