Ah hah, that means you got the Insight setup and working properly but somehow the Dev-C++ does not include debugging info in your compiled exe.
What version of Dev-C++ you got, did you go to Tools ->Check for updates/packages and after you connect to the devpark.org listing, check to see in the Installed package if you have the latest ones.
Dev-C++ should be 4.9.9.2
GNU debugger should be 6.3-1
binutils should be 2.16.91-20060119-1
If not, then download and update it. I don't see why you shouldn't get it to work, the only thing you need to turn on is the Linker debugging info, set to Yes.
Just to debugging purpose, I included here the test.exe file I ran in the video. You should download it and open it with Insight. I hope it will be ok this time.