1. It doesn't compile, because there is no compiler.
The first time you download, you need the larger one including the mingw setup.
codeblocks-10.05-setup.exe 27 May 2010 23.3 MB BerliOS or Sourceforge.net codeblocks-10.05mingw-setup.exe 27 May 2010 74.0 MB BerliOS or Sourceforge.net
If you then want the latest IDE (only), then you can just get the smaller one.
2. It compiles, but the console disappears too quickly to see anything.
There's a FAQ on this.