Yes, I had a problem building Ogre in debug in CodeBlcoks myself (the one time I tried) - though, I was using gcc compiler plugin.
That warning should not stop the build process.. As that is just a warning and works fine with VC6/7+ and gcc. Something else must be occuring... You can try using this (somewhat outdated) theora codeblock project.
http://www.wreckedgames.com/WreckedVideo.zip - I created that mainly to allow libOgg/Vorbis/Theora to compile using codeblocks and gcc (as there were define problems). Which means, ogg, vorbis, theora, ptypes, and the plugin sources are included here.
However, I think it should work using the .Net compiler too. Though, you need to update the Plugin Source and Include directory with the latest TheoraVideo include and src files... I would have done it for you, however, Ogreaddons Cvs is being a little flaky for me right now (probably a sourceforge problem).
Additionally, you may need to tweak the ptypes include directory setting in the TheoraVideo project as a a recent change of include "ptypes.h" to "ptypes/ptypes.h" was introduced lately. Or, alternatively, you can jsut remove the ptypes prefix from the include file.
There is no demo project here, however, you have the demo working (mostly), all you have to do is import the VC project for that, and make some small tweaks maybe. Hopefully this will work for you.