Are you sure you'd installed Allegro before to try to compile, as said in the readme.txt file? Note you must install version 4.4.0 RC1 or newer, as previous ones will not work at all. Read the “readme.txt” file to see where to get the Allegro library.
Also read the Full installation explanation.
Go to the “Compiler options” and uncheck all debug and profile options. They're in the “Code” and “Linking” tabs of the dialog window.