If you are using Bloodshed Dev C++ yes it is highly obsolete and you really should consider getting a different IDE. The main problem with bloodshed is it is using a very very old version of the MinGW compiler which will cause you a lot of problems.
So your best bet like Josue said is to change you IDE but you don't necessarily need to stop using Dev C++. There is actually a version of Dev C++ that is being actively updated and maintained which you can find here http://orwelldevcpp.blogspot.com/ . If you like the look and feel of dev c++ your best bet is to go download this version which comes with a up to date compiler.
Otherwise some other IDE's that you might like is Code::Blocks, VS2012 express, Eclipse for C++, QT Creator or you can go just a highly customized text editor route and use Sublime Text 3. There are plenty of options out there but the main thing is don't use bloodshed dev C++, orwell's version is fine but not bloodshed.
In order to run gcc you would need to be on a *Nix system (Or running Cygwin or something like it). Otherwise you can get the windows version which is MinGW.
Command line compiling is great and I do it all the time also, but you should always have a IDE ready for debugging. Sure you can do debugging in the command line but in my mind it just doesn't compare to what a IDE's debugger can tell you.
I've never actually seen an IDE compiler point at the correct line of code. Nor have I seen one that properly uses the step-by-step property. Of course, I tend to do that myself while I'm writing up what I plan to code anyways, so it's not usually a problem.