For many IDEs this is because you are not running the program but debugging it (running it in the debugger). The debugger assumes that you will have added a break point if you want to stop so it doesn't both stopping after program execution.
In stead of debugging the program select the option that actually just runs the program.
If it is at all an option, I would recommend replacing Dev-C++ with Code::Blocks, a more up to date IDE with a similar interface and using the current version of GCC as it's default compiler. Not only does it avoid the problem you describe by keeping the console window open, it fixes many of the other issues found in Dev-C++. Dev-C++ hasn't been updated in 8 years, and uses by default a very dated version of GCC; you can update the compiler, but the IDE itself will still be geared to the older version, which causes some problems in using the compiler as it is today. Code::Blocks is both more flexible and more current, and I would strongly recommend it.