From what i gather you made a program like this one:

// Hello World
#include <iostream>
using namespace std;
int main()
{
  cout<< "Hello World";
      << endl;
  return 0;
}


you need to replace the:
return 0;
with something like:
system("PAUSE");
return EXIT_SUCCESS;

I am also new at C++.. i have been going threw Ivor Horton's Beginning C++ book.. its not mentioned in there at the beginning when you make simple programs like this... i got it from when you make a new project in Dev-C++ 4.9.9.2 it automatically adds some lines of code that you would normally delete and start from the blank slate..