For the record, this is a terrible way to store data. Each column should be a single piece of data. If you need to concatenate data, use a computed column to generate that for display purposes.
At any rate, this should do it:
UPDATE Code_Sets
SET Code_Name = CAST(Code AS varchar(10)) + ' -' + Code_Name
WHERE Code_Name NOT LIKE '[0-9]%' --only if number not already prefixed to value (in case a re-run is required)