You must make a project for every program you wish to make. You then load in the example file from Dev-C++ (and remove untitled.cpp). Remember to use the Allegro tab for setting it up.
Oh, and Dev-C++ wants you to confirm the linker options before you close your project. To do this, go Project>ProjectOptions. Then just close the window by pressing OK, it is now saved. You have to do this once per project when you first make it. A bit silly, but, well, here's to hoping Dev 5.0 will drop it, eh?