One possibility is to share a folder between the two using samba - then you don't have to do any manual copying. You can edit the code on the windows host, and the files will be immediately useable on the Linux system.
You'll have to install Code::Blocks manually on the Linux host, the packages aren't in the Ubuntu repositories for example. Its not too difficult but you have to download and install the .deb files one at a time in the right dependency order.
I didn't like Code::Blocks as a debugger so I tried Eclipse CDT, the debugger is easier to use. Not sure if this helps you.
Good luck!