First you should note that conio.h is a Borland extension, NOT a standard header, so Dev-C++ and MinGW are in no way required to support it. The MinGW included with Dev-C++ 4.9.9.1 comes with a very reduced version of conio.h (no clrscr, gotoxy, etc); if you need more then you can use the native Windows console functions.
In Dev C++ you can use system("CLS") to do the trick, the old DOS command. Include the stdlib.h for the system() function.
An unofficial DevC++ FAQ website also provides and maintains an updated version of conio (and also winbgim) at *www14.brinkster.com/aditsu/console/ - that may be what you are looking for.
Regarding your second question - please elaborate... Are you asking for command line compiling? If you who prefer to use your own editor, download the command-line version of MinGW at *csjava.occ.cccd.edu/~gilberts/mingw/ instead. If you asking about running compiled program outside the IDE, you should find the created executable and run it - I dont think you need the IDE to run it...
Arun