While I personally dislike the Dev-C++ IDE, it's not the source of your problem. There are many people on this forum who use it regularly without experiencing any of the problems you describe. Based on this, and what you've said so far in this thread, it's more likely that the problem is simply that you have no idea what you are doing.

@ _mEck0: Can you zip up and attach your code?

_mEck0, please see this.

I'll say it again: Real men don't need IDE's.

Really, to learn programming, I can only advise to use nothing but a good editor and the command line. This way, you learn how to do things on your own; you'll understand what a compiler is, what a linker is, and what all those different file types (.cpp, .h, .o, .a, .dll, .exe, makefile) are for. You'll also learn to use proper coding style.

Once you've gone through that hell and know what you're doing, then go and use an IDE to make your life easier (unless you like the amount of direct control the 'spartan's IDE' gives you).

My personal choice is command line + SciTE. SciTE is basically an editor with syntax highlighting, a light app that starts quickly and doesn't use resources to do unnecessary fancy stuff, but it still has some rudimentary IDE functions like F7 to invoke make, and it understands g++ output so you can jump to the error directly.

great choose msvs 2005 is nice but see if you can get your hands on msvs6 ,it has much more goodies to help you do flasher things with ease. and its is very stable;D

Um... I thought you said you didn't use absolute paths:

     BITMAP* load_6 = load_tga("C:/bilspel/RallyCross/Graphics/Splashscreen/load_6.tga",palette);
     BITMAP* load_5 = load_tga("C:/bilspel/RallyCross/Graphics/Splashscreen/load_5.tga",palette);
     BITMAP* load_4 = load_tga("C:/bilspel/RallyCross/Graphics/Splashscreen/load_4.tga",palette);
     BITMAP* load_3 = load_tga("C:/bilspel/RallyCross/Graphics/Splashscreen/load_3.tga",palette);
     BITMAP* load_2 = load_tga("C:/bilspel/RallyCross/Graphics/Splashscreen/load_2.tga",palette);

Your code also throws up several compiler warnings, some of which you shouldn't have ignored (I'm giving you the benefit of the doubt, and am hoping that the ones refering to unused BITMAPS are for as yet unimplimented features). And while I can get the code to eventually compile without warnings, it crashes immediately when I run it. You haven't implemented any error checking, and I'm not in the mood to add any to see if I can find out why it's crashing.

Your program also needlessly includes "winalleg.h", and I think you need to ask your teacher what the purpose of header files is, as you have function declarations and defnitions scattered willy nilly through your source and header file.

I second Tobias, learn how to program using just a text editor and the command line. Once you understand how things work, then start using more complicated tools like an IDE.

Lenny, look out for the tiny blue monsters!

Right, to the point:
load_bitmap() isn't the only allegro function that can fail, actually, most can. Especially the initialization routines (setting gfx mode etc.) are definitely worth error-checking.
Then; learn to debug. Debugging is not pushing the F8 key. Debugging means inspecting the program while running to see what exactly is the problem. For this, it is common to use a debugger (MSVC comes with one), which is a tool that enables you to execute your code step-by step (much like an interpreter), define 'breakpoints' (lines at which the program will pause), inspect the values of variables at run-time, and get a 'call stack' (list of function calls that got you where you are in the code). Very useful, but unfortunately, many debuggers suffer bugs, or are hard to understand; with the exception of JIT (just-in-time) debuggers like DrMingw - these programs only kick in after the program crashes; they will then show you where and how the program crashed (though it's up to you to figure out why).
If you don't want to use a debugger, the least you can do is put lots of printf() or TRACE() statements into your code to find out where exactly the program crashes. I like to use printf("%s, %i\n", _FILE_, _LINE_); which outputs something like "main.cpp, 21", meaning that everything worked well until at least line 21 in main.cpp.
Use this technique to boil the problem down to, ideally, a few lines of code. Write a 10-line program that has the same problem, and someone will fix it.

Go on, flame me.

[edit]
The command line in windows xp is much better than the win98 one, though far from linux. There is a windows version of bash somewhere though IIRC.

These sentences I just wrote when I tested som stuff, because I don't have absolute paths on any other place in the code.

I'll accidently forgot to remove the include of winalleg.h. From start I wanted to make an win32 gui, but this programming course was pretty small so I didn't have much time to program.

I just got one warning when I compile, but I'll take a look and try to fix it. Yes I know what a headerfile is, I have programmed before, but not anything "big" as this project, just small stuff we needed to do in school, and I haven't barely used allegro, so can you please explain what you mean by function declarations and definitions scattered willy nilly through the source code? I have programmed before, but I still see myself like a newbie (even I can a lot more then a "real" newbie who just started to code), so can you give an example what is wrong with my declarations and definitions? Actually this is the way I've learned to write from school. Because I want to correct and learn from my errors and by the way, everyone is a newbie from start and doesn't program like a more experienced programmer. It takes time to learn

I'll remove the link to my project files now, but thanks for helping me.

Okey, I understand.

I can't remember that my teacher said that you shouldn't do so and when she looked at my source code, she didn't asked why I did so, probably she doesn't know it either (she doesn't have so much programming experience as far as I know). But I'm glad I've found this site so you guys can correct my mistakes Thanks for the link, I'll read that now and correct the fault in my code.

Oh, I'm so happy now that it's indescribable I have fixed the bug which did that I couldn't execute my game on any computer! I copied the game-dir to a computer which I don't have allegro and DevC++ installed on, and it worked correctly, Windows doesn't search for dll-files anymore...

I fixed some warnings (there is one left to fix), then I corrected som paths and I moved the functiondefinition (for the "settings"-function) from my headerfile to the main cpp-file, and that's it

Thank you guys, without your tips and comments I don't think I've had fixed it so fast...

The linker won't pick one at random - that would be just fine in most cases (except that it generates unnecessarily long compile times). It will complain that several distinct functions with identical signature exist.

Uhhh... no? Visual Studio is weird. I've been using Dev-Cpp for a few years before I switched to plain old Programmer's Notepad 2 and MinGW32 and never had any serious problems with it.