Cygwin directory slash problem?

[Me in Reflection]

Hello
 
I would like some help on setting up Cygwin to work with other 
IDEs and editors for compiling and linking C /C++ programs. 
 
For some reason, my installation of Cygwin does not accept the 
backslash (\) but only accepts the forward slash as in Linux (/) at the bash 
prompt or at the gcc input. Is this the default behaviour that cannot be 
changed? Or is there somewhere I can change this? I have some problems getting 
Cygwin to work with Dev C++ (which does not provide the option of changing the 
backslash to forward slash), and would like to know what to do as the help files 
online did not show how to.
 
Thanks 
 
WT