Probably it's a linker error then if you've found it in an include file and included that file. So you need to find out which library it's in and link that with the program. On the other hand if it's a compiler error then you don't actually need to #include anything; just copy the prototype into your program.

The usual way to find out which library a function is included in is to check the documentation for that function and it will tell you. Or it could be described in the header file. If not then you'll need to hope that someone else round here knows DevC++ or ask at the DevC++ forum on SourceForge.