I had thought "it doesn't make a bit of difference where you put the file" was pretty clear, but you seem to have pretty thoroughly missed the point.
It doesn't make a bit of difference where you put the file. You keep asking where to put the file, and the answer is "The computer doesn't!@#$%#$%&Y^$@#%Q#@ care where you put the file." When you include the file in your Code::Blocks project, you will get a standard Windows "where is the file" dialog box. Go find the file, wherever you put it, and we're done here.
If somehow you have forgotten where "Add to project" is, see screenshot.
Well I had to put the cs50.h file into a specific location. I am reading on the ubuntu forums where someone has a similar problem in linux. For him the cs50.c had to be compiled and the .o file needed to be put into a specific location. I am not using ubuntu, but I was concluding the cs50.c needed to go to a specific folder when using windows also.
Obviously I am completely new to this, trying to make a 101 tutorial work. I have never used C::B before either so I have no clue how to add a file.
So following you screenshot first I loaded the file I am trying to compile. Then clicked
project->add files->
But it does nothing. Absolutely nothing. I do not get a dialog box. Then I saved the file as a project, opened it again but the same thing.