Upgrade to MinGW 4.4 (or whatever the latest is, I forget now). 3.x which comes by default with Code::Blocks will not work.
If you're using Code::Blocks it is highly recommended that you get premake to generate the projects for you. Trying to create your own - unless you are some kind of expert and know what you're doing - is a recipe for disaster.
Also consider moving from 0.7.1 to either the cegui_mk2/branches/v0-7 svn code or to the snapshot releases, since they contain various fixes.
Note that even after heeding the above advice, the course my not be plain sailing - you will need to obtain the dependency libs from somewhere and also fix up the generated C::B projects with the appropriate library names and search paths.
Note also that MinGW support is not 'official' and it gets tested rarely (though some major work was done earlier this year, which means I know for sure it's possible to go the premake + C::B route

Good luck!
CE