Saint, its possible that you are getting a combination of problems that are escalating into a massive headache.
The problem you've posted has less to do with SFML, and more to do with understanding how C++ (and, my guess in your case since its C::B) and MinGW( aka gcc) works.
You'll want to get some more experience with C++, maybe getting more comfortable with how linking works (both static and dynamic), along with what needs to be set in the IDE for things to compile. Also, if you're running in windows, dynamic libraries and how they work in windows is worth understanding.
This is going to be a bit of a divergence from your original post, but I think it strikes more to the heart of what you want to do:
what is your goal? Is there some reason you are attached to SFML? or even C++?
If your goal is to get more comfortable with graphics programming, then it might be worth trying to go with C# or even Java, since its "easier" to understand. Heck, you can even use Python if you want to-- the fundamentals of graphics programming isn't going to change with the language you choose.
If you really want to use C++, then your first goal should be to get used to C++, IDEs and how C++ links / builds / executes.
Try doing something that uses a 3rd party library and has nothing to do with graphics at all. For instance: Build, link and use one of the libraries available through Boost.
Also, did you check this page out?
scroll down to where it says Code::Blocks. there are some tips as to what you can do to make it work.
If you are having trouble understanding what that page is talking about, then you need to step back and get more experience with C++ / C::B first.