EDIT: It looks like I have everything working, thanks for your help.
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I am running Windows 7 64 bit, and Code Blocks 10.05. I have not tried doing this with any other library yet. I am using a project to manage my build since I will be using multiple files.
As of this morning, the auto complete seems to be working with SDL. I don't know why its working now and not last night....
Anyway, is auto-complete supposed to work with any header file I include? (This is what it looks like exactly: #include "SDL/SDL.h")