as Lahiec says, there are wxwidgets packs for dev-c++, which basically just help you get wxwidgets installed; you don't actually need them. opengl is same situation i believe. in general expect to have some frustration while you are getting a big library set up but after that it's easy.
i'm a big fan of dev-c++, and like it a lot. for wxwidgets c++ coding you might also try the free cross-platform and excellent IDE called CodeBlocks: http://www.codeblocks.org/
you probably can code qt apps with dev-c++ though i've not done it and i know qt is more focused on visual studio since they aim for the commercial market.
regarding lua, that's a separate language and you wont be able to use dev-c++ or codeblocks to do lua development, you'll need a lua IDE for that. Unless you are asking about adding a lua interpreter to your code, in which case you should be able to add that library without much trouble.
to summarize in general: in plain standard c++, these things like wxwidgets, opengl, and other stuff, are libraries that dont require any special integration into your IDE -- they are just libraries you need to configure/compile/link.