c++ strings

hey,
I'm trying to do the c++ style strings tutorial on this site but it's not working. Could it be because I'm using Dev c++?

here's my code:

Code:

#include <iostream.h>
#include <stdlib.h>
using namespace std;

int main()
{
string my_string;
      return 0;
}

not realy sure why this won't work. Help would be apreciated, thanks

the program itself will not indicate to the user whether it's working or not.
the program simply declares a variable, then exits. any compiler errors?

Code:

#include <iostream>
#include <string>
using namespace std;

int main()
{
     string first_name;
     string last_name;
     
     cout << "Enter your first name:  ";

     cin >> first_name;
  
     cout << "\n\nEnter your last name:  ";

     cin >> last_name;

     cout << "\n\nYour full name is:  " <<  first_name << "  " << last_name;

     cout << "\n\nYour initials are:  " << first_name[0] << ". " << last_name[0] << ".";

     return 0;
}

I just didn't include the right header, thanks