Most libraries come in 2 parts, the standard runtime library, and the development library. Runtime libraries are what are used by end-users for actually running programs, while development libraries are what developers use to create GUI programs.
Windows usually does not come with development libraries installed. I don't know about Code::Blocks, as I've never used it.
If all you want to do is create Windows based GUI programs like Microsoft Word, I'd recommend looking into Visual Studio and MFC. Visual Studio usually installs all the required libraries for you. MFC (Microsoft Foundation Classes) contains a whole bunch of useful functions and classes that can assist in creation of GUIs.
If you want to create cross-platform programs (that will run on *nix/Mac/Etc), then you'll want to use OpenGL (and an OpenGL based GUI creation framework) or Java.