I had a go myself using Code::Blocks 16.01 (with build-in mingw), agup 1.0 from sourceforge and allegro-4.4.2-mingw-4.5.2.zip from allegro.cc.
I set up an empty project called agup_lib in C::B and added all the .h and .c files from agup, except examp.c. I also had to put allegro's include dir for the project in Project Build Options -> Search Directories -> Compiler.
That built the library OK.
I then set up a second project called agup with examp.c. I set the include dir as before. I then added the libraries in Project Build Options -> Linker Settings -> Link libraries. I did it separately for the Debug and Release configurations.
In Debug I put <agup-path>\Debug\libagup_lib.a and <allegro-path>\lib\liballegro-4.4.2-monolith-md-debug.a
In Release I put <agup-path>\Release\libagup_lib.a and <allegro-path>\lib\liballegro-4.4.2-monolith-md.a
(Where I've used <> I mean to substiture wherever they are on your system)
Note that libagup_lib.a comes before allegro in the list (use the little up/down arrows to swap them)
Hope that helps.
Pete
ps. when it came to running I had to copy the corresponding allegro DLLs in to the same directory as the executable and also alex.pcx and clean8.pcx.