>>It didn't say anything about the glaux.h file<<
Glaux is excess baggage in that example, nothing more.
>>Dev-C++ 4 compiler<<
This is ancient and, to the best of my knowledge, uses gcc 295.x and many outdated headers. Download the latest (v188.8.131.52) of dev-cpp 5 which includes a more recent version of the MinGW compiler and tools.
In the meantime, you can hack around:
>>`CDS_FULLSCREEN' undeclared <<
but it would be much better to update your copy of dev-cpp.
#if !defined CDS_FULLSCREEN
#define CDS_FULLSCREEN 4
>>undefined reference to ...... <<
You have been advised repeatedly in this thread that these linker errors occur because you have not linked against the proper opengl libraries. Once more: you must link with (for any version of dev-cpp) libopengl32.a and libglu32.a, more commonly by using the linker switch shorthand of -lopengl32 and -lglu32.
>>eh, i think i'm goin to start trying DirectX instead.<<
Before you do that you might want to consider that configuring and using DirectX with Dev-cpp is a lot more involved that using opengl with dev-cpp.
Good luck anyway.