First you should use a better IDE ( I can recommend Code::Blocks and Visual Studio Express ).
The error says that you forgot to tell the linker about the irrlicht.a that you need to link with your program. (Don't remember how to do this is dev )
Software documentation is like sex. If it's good you want more. If it's bad it's better than nothing.
it seems no longer supported by Bloodshed...
the last release was: February 21th 2005 : Dev-C++ 5 Beta 9.2 (4.9.9.2)
IIRC there was another project called WxDevCpp or something like that, I don't know...
I also can highly recomment Code::Blocks, it's the best (free) IDE I've ever used (I also used DevCpp for a while) !!!