You have to have gcc installed.
Remember, file.cpp or file.h are nothing more than "text" files.
If you're gonna learn linux, you need to learn to compile from the command line.
Write up a simple "hello world" program and compile it from the command like:
After you've familiarized yourself with manually compiling from the command line, learn how to use make.Code:g++ -o program_name source_file.cpp
BTW: if you really want, you can run Dev C++ just fine under "Wine" for linux. although you'll need wine to run any executables you produce with it.
All Bloodshed Dev C++ does to compile your projects is use a makefile.