It depends on which version of the source you want to build. We use CVS branches to stabilize releases, and there is some natural divergence: you can't build version 0.2.8.0, which is made from brach b0_2_8_0, with the build files from the trunk, you need to fetch the b0_2_8_0 branch of that as well. Use the <Update Special> menu item of Tortoise CVS if that's what you use to fetch CVS.
You can also just fetch the lates alpha source, alpha_20060319, from
aabeta. Get the source zip. It's the first source version where the appropriate Code::Blocks project files are included directly.
You also need the library dependencies, they're either in the armagetronad-winlibs file release package on sourceforge or in the armagetronad_winlibs CVS module. There, it should not matter which branch you get.
I'm not sure whether code::blocks and the microsoft compiler is a combination supported by us, maybe Klax has made it compatible. I certainly didn't.
An alternative compiler and IDE you can use is Microsoft Visual Studio 2005 Express, the C++ edition. The project files are still for vc6, but they get imported cleanly. The compilation result in tests was fat, slow and didn't work on Windows XP, so official releases are not built that way.