Also, just to be clear, the DLLs are runtime libs, they go in the directory with the made .exe.
Headers go in the headers folder, libs in the lib. You can probably also add a directory to one of the Code::Blocks options, where it looks for libs and headers. By default I think it looks in the &PATH&\lib and &PATH&\headers or something environment variables if you have them defined, as well as one directory above the codeblocks file in the lib and headers directories.
Edit: You add the custom directory IF you don’t want to have the files where the default files are. The extra lib and header search directories are for when you want to keep libs and headers out of the default program folders, like if there’s an extension or plugin you can compile in, and you think they won’t be compatible or you may have to update those specific folder later and don’t want to clutter the main program with them.