I have no Dev-C++ here, but as far as I remember, after installing Dev-C++, you should be able to compile that code and make it work on your machine, since Dev-C++ tries to build it using the default compiler (which is already set up).
Then, in order to build the GPE executable, you should go to Tools->Compiler Options, and create new compiler settings so that it points to the proper compiler, includes and libs. After that, just go to Project Properties change the compiler, and rebuild.