Warning: "No local application has been provided. You can define it in the Run menu, Parameters "Dynamic DLL Creation problem in C ++ in DEV ++

I'm trying to create a DLL with the code that the teacher passed, but it does not compile properly. The warning is appearing:

  

"No local application has been provided, you can set it in the Run menu, Parameters"

The main DLL follows:

 #include <windows.h>
 #include <iostream>

 using namespace std;
 typedef void (*MyFunc)(void);

 /* run this program using the console pauser or add 
  your own getch, system("pause") or input loop */

 int main(int argc, char** argv) {

     HINSTANCE hinst;
     MyFunc Hello;
     hinst = LoadLibrary("MyDLL.dll");
     if (!hinst)
     {
         MessageBox(0,"DLL File not found!", "Error", MB_ICONERROR);
         exit(0);
     }

     Hello = (MyFunc)GetProcAddress(hinst,"HelloWorld");
     Hello();
     FreeLibrary(hinst);
     exit(0);

     return 0;
}

The following is the DLL of the function:

#ifndef _DLL_H
#define _DLL_H

#if BUILDING_DLL
#define DLLIMPORT _declspec(dllexport)
#else
#define DLLIMPORT _declspec(dllimport)
#endif

DLLIMPORT void HelloWord();

#endif