First off I would switch from Dev-C++ because it is a dead IDE. Use Code::Blocks or Visual C++ that is more current (I use Code::Blocks and had switched from Dev-C++ -- the transition wasn't that hard).
As for the whole having a window and cmd prompt up at the same time you just have to make a Console application type project and copy all the windowing code over (or just go Project >> options >> build targets and select Type: Console application for Code::Blocks).
If you do not know any WinAPI and would like to make windows I would recommend using Visual C++ (I think they have a GUI editor) or find an IDE that can make windows.