To build under Dev-C++ you must do the following:

1.  Install Dev-C++ (I use version 4.9.9.2)

2.  Install Cygwin base package, as well as gcc and binutils

3.  Grab the OpenXDK v0.07 and install to /usr/local/openxdk under Cygwin.  The binary package for win32 is fine.

4.  Configure Dev-C++ for XBOX compilation as specified here:
     http://forums.xbox-scene.com/index.php?showtopic=431086

5.  Load and build.

6.  Run CXBE on it to reduce to a .xbe file