Dev C++ is old and no longer maitained. There are better alternatives:
http://www.codeblocks.org/ - great, cross-platform tool that also installs all the required extras from a single package
If you know what you're doing, you can use Eclipse or NetBeans as your C/C++ IDE, but the initial configuration might be a bit tricky.
And if you need to use Windows API you should get the free version of Visual Studio C++ (it is fully functional).
But the easiest option would be to install Virtual Box and with a copy of Linux (Ubuntu or Mint if you're a starter)- all the necessary stuff is already pre-installed on Linux. Just run a basic text editor (or a light-weight IDE like Geany) and you're ready to go! This way you will learn how to use command line and how to build and debug your programs manually.