On Windows you should install the Windows Installer (with MinGW compiler) package. On other platforms you can install however you like following the instructions in the wiki.

* https://github.com/raysan5/raylib/releases/download/4.2.0/raylib_installer_v420.mingw.exe
* https://github.com/raysan5/raylib/wiki/Working-on-GNU-Linux
* https://github.com/raysan5/raylib/wiki/Working-on-macOS

Install and run Code::Blocks.
Windows only: Select Settings Compiler Toolchain executables. Change Compiler's installation directory to C:\raylib\MingGW. Do not press auto-detect. There is a screenshot below showing how it should look. Press OK.
Select File Open and open the core_basic_windows.cbp file.

For an example with resources, see https://github.com/electronstudio/raylib-game-template-codeblocks