Note: this page is probably not that useful any more, as I suspect few people run plain DOS any more.
DJGPP is a port of the GNU C/C++ compiler (aka gcc) to MS-DOS. For more information, see the DJGPP FAQ. gcc produces executables designed to run under a flat 32-bit address space, as opposed to the normal segmented 16-bit of MS-DOS. Therefore a Dos Protected Mode Interface (DPMI) server is required to run DJGPP compiled programs. (If you don't get this, you'll just get an error along the lines of 'Load error: no DPMI').
There are a number of such programs available, but DJGPP comes with its own free DPMI server, CWSDPMI. This is available from various places (there is a large list in the FAQ; Choose the site you have the best connectivity to, then get csdpmi4b.zip from the v2misc subdirectory). Unzip this so that cwsdpmi.exe is on your path, and all should be well :-). If it's not, see the FAQ.
The other alternative is to run the DJGPP program under Windows (any version later than 3.x) as all of these provide their own DPMI server.