I normaly get this, if the module can't be found (not added to the include directories).
I'm not used with CB or Allegro, but how did you added the DAllegro5 files to the project?
I think you have to add both the library and the include files (.d).
Just look in your settings and what you set to get DMD working and add the simmilar paths for Allegro. (in my old CB version 10.05 in Settings>Compiler and debugger>... or Project>Build Otions>... and then in ...>Linker Settings and ...>Search Paths)