DevC++ Bloodshed is discontinued, and isn't a C++11 compiler. I'd recommend upgrading to a new IDE (such as Code::Blocks, or Visual Studio 2010-13) in order to do what you want to.
DevC++ hasn't been discontinued as someone picked up development via a fork on its source: http://orwelldevcpp.blogspot.com/
The compiler in the screen shot shows TDM-GCC which I don't think implements std::thread in its library. The alternative MinGW32 does I believe. I would try it.
EDIT: Also, you're version of DevC++ is a bit old. I would update.
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