Ok, so assuming you've got the SDK downloaded, open the tools folder, and inside that, the codeblocks folder, and finally the wizard folder. Take the config.script and the 'gp2x' folder and copy them. Then, navigate to the 'C:\Program Files\CodeBlocks\share\CodeBlocks\Templates\Wizard' folder and paste it in. When you paste them in, I believe it should overwrite the config.script already present in the folder. If it doesn't do this, then you may not have the right folder for pasting. Once you've done this, boot up CodeBlocks (or restart it if necessary), and when you click on "New Project", the GP2X template should be present for development. From there, you should be able to go with the tutorial for development present in the GPH_SDK folder, and it should build properly (assuming you've set up the compilers correctly).
EDIT: @monstercameron - You probably shouldn't edit or otherwise mess with the actual script or wizard files. That most likely corrupted them - you'll have to reinstall the SDK (or ask someone for the corrupted file) to get it to work.