Okay... I'm not familiar with Dev-C++ - I assume it uses Mingw/Cygwin gcc - targeting a PE file. If that's correct, you want "-f win32", not "-f coff" (that's for djgpp's variant of COFF - although they're quite similar). Also, you'd want to call "ExitProcess", not int 20h.
If what you want is dos, the easiest thing is to use "-f bin" to output a file directly to .com format. You'll want to use "-o myfile.com" (otherwise Nasm defaults to just "myfile"... which could be renamed...). You'd also want to put "org 100h" at the top of your source - although what you show would work without it. (when you try to print the "prompt", you'd need it - and if you're thinking of using int 21h/9 - end it with '$'!!!)
If you wanted a 16-bit dos .exe (an "MZ" executable format), use "-f obj" and link it with Alink, or Val, or an old MS 16-bit linker. The linker with Dev-C++ (named "ld", I imagine) *might* work for that, but I doubt it. You'd want a "stack" segment and an entrypoint ("..start"), to go that route.
Personally, I think starting out with dos .com files is easiest, although "learning dos" is not very useful, in itself, these days. With WinXP, it'll be "fake" (emulated) dos, but it works *almost* like "real" dos. :)
If you want to get into 32-bit programming, I don't think it covers Dev-C++(?), but Dr. Carter's tut might help:
http://www.drpaulcarter.com/pcasmBest,
Frank