In Windows when a process terminates, the OS closes the associated window. This happens with all programs (and is generally desirable behaviour), but people never cease to be surprised when it happens to the ones they write themselves.
I am being slightly harsh perhaps; many IDE's execute the user's process in a shell as a child process, so that it does not own the window so it won't close when the process terminates. Although this would be trivial, Dev-C++ does not do that.
Be aware that when Dev-C++ was popular, this question appeard at least twice a day on Dev-C++'s own forum on Sourceforge. For that reason the forum has a "Read First" thread that provides a suggested solution amongst solutions to many other common problems. You should read it here.
Note that Dev-C++ is somewhat old and no longer actively maintained. It suffers most significantly from an almost unusable and very limited debugger integration. Traffic on the Dev-C++ forum has been dropping off since the release of VC++ 2005 Express, and is now down to a two or three posts a week rather than the 10 or so a day it had in 2005. All this suggest that you should consider an alternative tool IMO.