For the purposes of this hypothetical question, I'll pretend that it's not hypothetical because I don't want to have to keep using some kind of future conditional tense :)
If you're happy using Dev-C++, would you consider switching to doing the whole thing manually?
If you were using gcc, for example, you could directly add the header search path for any given header to your command line.
I'll step back one; I was getting ahead of myself there. I will say some things that sound horribly obvious, for which I apologise, but I think it's a good idea to be thorough.
Note that you're not actually trying to link against a library here in this gtk.h stage; you're trying to compile (which is the stage before linking), and you've dictated that your code is to have the contents of gtk/gtk.h inserted, and the preprocessor is unable to find that file to insert it into your code.
If the compiler whinges that it can't find gtk/gtk.h, the obvious conclusion is that having wandered through the search path, there was no such file.
So, firstly go looking for that file yourself and confirm that it is actually on your system somewhere. You'd feel pretty silly if it wasn't there and you spent ages trying to insert it! :)
If it's not there, you need to download it from wherever it lives and put it in the right place (which is http://www.gtk.org/download-windows.html
I believe - make sure you get the complete bundle http://ftp.gnome.org/pub/gnome/binaries/win32/gtk+/2.22/gtk+-bundle_2.22.1-20101227_win32.zip
and read the readme file at the top level of that file). You're correct that there is no installer; it is up to you to put it somewhere sensible and then add the paths and the libraries to your compilation and linker settings. What counts as somewhere sensible? Really, just anywhere that you won't lose it and it won't get in the way. Make a new directory for this sort of thing, perhaps.
Here is a brief overview: once you've put it somewhere sensible, you will need to find the setting in your IDE that dictates the file search path. This will essentially be a big list of locations on your hard drive to look in when it is looking for a header file. Right now, it is running through this list and never finding gtk/gtk.h
For example, if you put the downloaded package in /home/user01/gtk the directory to add to the search path for header files would be /home/user01/gtk/include/gtk-2.0/
Once you have done this, expect it to work as far as the linker; the linker will then complain about "undefined references" or something similar. This will indicate that the compiler correctly understood the name and prototypes of all the functions, but now the linker cannot actually find the libraries (not header file, actual already compiled libraries) that contain those functions.
At this point, you will have to find the setting in your IDE that dictates which libraries you are linking against. You will need to add the names of each library in the gtk package, and add their location to the library search path. If you look in the zip file you downloaded, you'll see that they live in /lib at the top level, so if you put the downloaded package in /home/user01/gtk the directory to add to the search path for lib files would be /home/user01/gtk/lib/
Whilst I'm here, you meant "principle". :)
If you were using gcc, for example, you could do this:
g++ -I/home/user01/gtk/include/gtk-2.0/ -l/home/user01/gtk/lib/nameOfLibrary.a yourCodeFile.cpp
You can see there that the compiler/linker tool g++ has been specifically directed to the include directory /home/user01/gtk/include/gtk-2.0/ and the library file /home/user01/gtk/lib/nameOfLibrary.a
Essentially, this is all you do in your IDE when you add those parts to the appropriate text box in some menu somewhere.