Are you sure you didn't have another copy of SDL 1.2's dll in your system folder which is in the system path variable?

If you do want to change your working directory though, it should be project->properties->build target->[name]->execution working directory. Execution working directory looks like it's on your last screenshot there.

I have a slight configuration problem with Code::Blocks. My old SDL1.2 is configured nicely, it uses dlls from the SDL bin folder. But for some reason I can't configure SDL 2.0 the same way and I need to manually copy dlls to the project folder (I don't want to drop these to the system folder, want to contain this within Code::Block and projects environment).

I can't find any difference between my SDL 1.2 and SDL 2.0 configuation, I must be missing something...

I attached a screenshot with all steps I took.

I've attached an SDL2 project wizard to this reply. Tested on Windows 8 Pro x64 with stock installs of Code::Blocks 13.12, MinGW32 and SDL2 2.0.1 - I suppose it works on Linux as well since sdl2-config is mentioned in the wizard, but I didn't test (look at the edit below).

How to install on Windows:
1) Make a backup copy of C:\Program Files (x86)\CodeBlocks\share\CodeBlocks\templates\wizard\config.script because it will be overwritten.
2) Unzip the attached file to C:\Program Files (x86)\CodeBlocks\share\CodeBlocks\templates
3) Done. Now when creating a new project, the "SDL2 project" template is available.

Details:
1) The template only assumes that stock SDL2 is installed, and only links against SDL2main and SDL2.dll - in other words, if you are using SDL2_image, SDL2_mixer, SDL2_net, or SDL2_ttf, you'll have to manually add those to the Linker settings/Link libraries under Build options.
2) The template includes a post-build step that copies the SDL2 DLLs to the output folder - in other words, you can run the project directly after building. There's no need to copy the DLLs to the output folder nor to any other folder in your PATH. I suppose this solves the problem you reported.

EDIT: Just tested it on Code::Blocks 12.11 on Debian Wheezy 32-bit with libsdl2-dev from wheezy-backports, and it worked.

How to install on Debian Wheezy 32-bit (I suppose it's not all that different on other distros):
1) Make a backup copy of /usr/share/codeblocks/templates/wizard/config.script because it will be overwritten.
2) Unzip the attached file to /usr/share/codeblocks/templates
2.5) If you're really picky, convert the line endings of /usr/share/codeblocks/templates/wizard/config.script using e.g. dos2unix
3) Done. Now when creating a new project, the "SDL2 project" template is available.