Well when linking little programs i get low size executables, even less with stripping(compile optimizing with -s option, like gcc -O3 -s)(i.e. 7,50Kb). When your program grows in size and you start linking libraries, specially static ones, binaries can be pretty big, even with stripping. The size can be high even when compilling everything dinamically, compared to VC. Here VC seems to do a better work removing not reachable code from binary.
I dunno what gcc version you using, latest version is gcc 4.3.2, you can get experimental windows builds from TDM (very stable i would say) from here:
http://www.tdragon.net/recentgcc/
You can find instructions in TDM page. Usually all you have to do is have mingw installed then decompress the files inside mingw directory directly, very easy.
(i think tdm now provides an internet installer that will install you everything, mingw plus latest gcc build and other tools)
Another issue with gcc is that it has loads of options and you really need to study them, you can get gcc 4.3.2 manual(pdf) here:
http://gcc.gnu.org/onlinedocs
http://gcc.gnu.org/onlinedocs/gcc-4.3.2/gcc.pdf
As a side note, devcpp havent updated in a while. I would use (actually i do) codeblocks:
http://www.codeblocks.org/
This is a pretty good cross platform IDE, the only thing that i miss compared to VC is a better integrated help system, something very useful.
You can use this IDE not only with GCC but with VC compiler, Intel compiler and some others.
You have a codeblocks+mingw bundle fo download, but i actually prefer to have separate installations for mingw and codeblocks.
Current codeblocks version is 8.02 but you can get aswell latest codeblocks nighty build(with some bugfixs but experimental build of course).
By the way, codeblocks comes with wxSmith plugin that will allow you to do visual programming, you have to check it, it is not crappy visual develoment but a real good one, you will need wxWidgets SDK for your platform:
http://www.wxwidgets.org
wxWidgets is a crossplatform windowing framework similar to mfc from microsoft. Actually codeblocks has been developed using wxWidgets.
You will need to download wxMSW 2.8.x from www.wxwigets.org if youre using windows,
decompress (i.e. C:\wxSDK) and in (C:\wxSDK\build\msw) directory do(supossing you have mingw already installed):
mingw32-make -f makefile.gcc MONOLITHIC=1 SHARED=1 UNICODE=1 BUILD=release clean
wait.... and youre ready to do visual editing with codeblocks with the wxsmith plugin
(and you could rebuild youre app in other platform that supports wxwidgets, like linux, mac, ...)