Whenever I create a new class, a .cpp and a .h are created, along with the data from the main file.
Code::Blocks is probably trying to help in creating a .cpp and .h file for each class you define, because it is a common practice to have header and .cpp files where one or more classes(and other variables, functions etc) used in a program are declared and defined. This is only a common practice used for organizational purposes though, and a single .h (or .cpp) file could contain all of the code referred to.
I don't use Code::Blocks so I didn't know about this. Anyway, if you create empty files as required, and then write your classes' code in the code editor, I don't think you'll get any attempts from Code::Blocks to organize your project's code files.