While I haven't used Dev-C++ (I use Eclipse), my reading of the Dev-C++ doco tells me that it supports Cygwin. If you can make Dev-C++ compile programs using the Cygwin gcc/make, then it should work just fine.
I have had several developers give me feedback with varying degrees of success about getting OpenXDK working using Mingw (on both Linux and Windows), but I haven't had a chance to amalgamate all their findings.
At the moment, I am concentrating on getting audio support working. Linux/mingw support will probably be next after that.