Hi,
Have you also installed the msmpisdk package (in addition to the MSMPISetup.exe)? You will need the SDK package to have mpi.h and the msmpi.lib file to compile and link your program.
Assuming you have installed the msmpisdk package, you can add the include directory for Dev-C++ under Project Options\Directories\Include Directories. If you have installed the msmpisdk package using the default option, the header file mpi.h should
be in the following directory "C:\Program Files (x86)\Microsoft SDKs\MPI\Include". If you are compiling for 64 bit system, you will need to add "C:\Program Files (x86)\Microsoft SDKs\MPI\Include\x64" into the list of include directories.
On the other hand, if you are compiling for 32 bit system, you will need to add "C:\Program Files (x86)\Microsoft SDKs\MPI\Include\x86" into the list of include directories.
You can also refer to this blog post for more information on how to compile and link a simple MS-MPI program. Note that the blog post uses Visual C++ as the IDE so it might look a bit different from DEV-C++
http://blogs.technet.com/b/windowshpc/archive/2015/02/02/how-to-compile-and-run-a-simple-ms-mpi-program.aspx
Let us know if you have any other issues.
Thanks
Anh