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.