Dev-Cpp is a free compiler you can use; go to http://www.bloodshed.net/devcpp.html and download then you install and all and you have a compiler that works great!
Dev-C++ is an integrated development environment (IDE) that uses MinGW as its compiler. Since Dev-C++ hasn't been active since 2005, its version of MinGW is already obsolete, so it's advisable to either update it version, or use a different IDE altogether.
A program compiled by MinGW will work in any version of Windows since Windows 98.
If what you mean is a compiler that compiles for both Vista and Linux, then no. You'll need to cross-compile for that. Note, however, that MinGW is a port to Windows of GCC, so a program that compiles in it will very likely compile in GCC.