After switching to Code::Blocks, I then realize it is a bug of MinGW and not of Dev-C++’s. The same bugfix too applies to Code::Blocks only with a few difference in the user interface.
For Code::Blocks the directories can be found under Settings -> Compiler. (version 1.0 RC2) Just replace\Dev-Cpp\ with \CodeBlocks\.
After that just follow this link if you still having problem with Code::Blocks:
http://wiki.codeblocks.org/index.php?title=Installing_MinGW_with_Vista
Hope I have clear things up.
Here is a snip that tell us why “ld: XXXXXX.o: No such file: No such file or directory” happens
