You're probably missing the ?gwt.hosted= param in the query-string
when launching your app (the exact URL to use is given in both the
DevMode window and in the console –so you can copy/paste it into your
browser, where you'd have installed the devmode plug-in, of course–)
Also, are you passing the -war argument to DevMode?
(note that if you have the Google Plug-in for Eclipse, you can use the
"run as webapp", it'll run HostedMode which will warn that you should
be using DevMode but it otherwise works very well –at least 2.0-MS2
works like a charm–)