DevCpp is an IDE which uses MinGW. MinGW is the Windows port of the GNU compiler collection (GCC) and associated tools (binutils). Included is GDB - the debugger.
When DevCPP was installed, it also installed MinGW. So you already have a working debugger ready to go. DevCPP (as an IDE) has a GUI interface for common debugging tasks - like setting break points and inspecting/changing variables while debugging.
CodeBlocks (http://www.codeblocks.org/) is another IDE with visual debugging capabilities you may want to try (also uses MinGW).
Visual C++ Express is also free and contains a fully visual debugger.
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