You need to have a recent DirectX SDK. Do not use Dev-C++ (it is old!), Visual C++ Express is fine. You may need to configure your IDE's project directories to point at DirectX's include / lib folders. If you are using 2010, the latest OIS svn trunk has 2010 project files which already set the DirectInput paths.
Open up your IDE, go to build->batch build->select all and then build. You can unselect 64 bit targets (won't build with express).