On day 1, use Dev-C++ if that is what you like. Play around with engine coding and experiment. You can switch IDEs later, but to get an initial peek at what engine coding is about, it does not matter what you use on day 1.
At this point, you don't even know if you'll like doing it or if you have enough determination to get a grasp of it. You have to obtain familiarity with lot of the subsystems in the engine to make any kind of significant progress and that takes a while. And if you make a trivial mistake, the engine will crash ... versus QuakeC which will just kick out an error message.
If you find you like engine coding or want to get deeper into, you can always switch IDEs.
[That being said, the idea of learning engine coding starting with Kurok PSP is crazy. I'm sure you like the PSP, but it is a bad starting point ... even with a good setup, it takes a couple of minutes to compile and another minute or 2 to load it to the PSP and then run it (that is not a good environment for playing around ... not so bad if you can plan out your work ... but that means you already understand the engine and are not learning it), the compile process is command line interface, the Kurok PSP project itself kicks out 700 warnings (I learned a ton from those and how to solve them, but well ... that was something that interested me), the PSP can easily run out of memory, Kurok PSP is both C and C++ and a bit of assembly stuff too, the make file for the PSP is complicated. There is no way of debugging for the PSP except with "trace". A half-way decent Kurok PSP setup involves "Win32 Stubs" (files to fake a Windows development environment into thinking it can compile the PSP code without using the real headers). And Kurok PSP cannot hardly any of the engine tutorials that target other platforms. So you will be +20 on the pain level before you begin. That isn't "I'm trying to engine code the first day" territory ... that has mountains of obstacles in your path before you even get to experiment with trying the idea of doing something interesting.
To the best of my knowledge, anyone with any level of success coding on the Quake PSP platform already had a basic to strong foundation from some previous coding project. In the case of the original guys who coded the earlier forms of Quake PSP -- those guys had to have really deep coding roots.]
None of the above is meant to discourage you ... you should definitely try to compile for the PSP and try a tutorial or 2. You might really like it.
And you'll never know if you don't try.
If you do decide it is something that you want to do and feel up to, at that point follow every single word of advice from MH or that he has ever posted.
