Like swgh implied, it probably wasn't included with your compiler. You're using Dev C++ 4, right? If so, and you want to continue using Dev-C++, get the v5 beta. Otherwise there are a number of free compilers that will include it such as Code::Blocks (*snipped bad info*), and VS Express is still free, I think...
[edit]OK I mixed up IDE and compiler, too. oops^2[/edit]