In that case then, I have no idea what todo to sort it
Are you not familiar with DLL's? This has nothing to do with programming, but with the way Windows works.
An application doesn't have to be a single EXE file. It may require one or more components, in this case Dynamic Link Libraries to be available at program start up. The "availability" of this DLL is determined by Windows by doing a search for the DLL file(s). The search logic that Windows uses to find a DLL is in the link I posted. Did you read it? So what is one of the areas that Windows searches when attempting to load a DLL?
I'm trying to relay the point to you that the solutions given to you will work, but have absolutely nothing to do with CodeBlocks or whatever setting you've been told to set.