Afaik under windows you have to put the DLL somewhere in you PATH or into the execution folder(which is the same if you doubleklick the file, but in IDE's it's not the folder where you store your executable, as this would make it impossible to have release/debug versions at the same time)
if you have /bin/Debug/app.exe(or just /_DEBUG/app.exe, depends on IDE) the DevIL.dll has to be in /.
Thats anyways a good idea under windows as this os lacks a system that can install dependencies for you:)
hope I could help you.