Irrlicht Engine

Hi, all of this stuff is so confusing. I don't know how to make Dlls. How do I include Dlls in regular .cpp files?

Well, first of all, I'd move from DevC++ to the free MSVC2005 Express. It's a better IDE. Anyways, you don't include DLLs, you include header files, which are text files. DLLs are binary data that's loaded at runtime. To include a header, just use the code:
#include <header.h>
with "header" being the name of the file. So if it's the Irrlicht header you'd use:
#include <irrlicht.h>

Ok, thanks for the help with headers, but how do you use and make dlls? And what is the purpose of them?

PS: I use both MSVC2005 and Bloodshed Dev-C++. I don't know how to use Visual-C++ (i just got it), so I'm using Dev-C++.

I got the Express version of Visual-C++, sorry.

Well, In Dev-C++, I think you select what type of project it is from the project properties thing (the same place where you set the icon for your app), as for what a dll is/what its purpose is, the Wikipedia article http://en.wikipedia.org/wiki/Dynamically_linked_library has an excellent discription.