Do you have the image.bmp in the same folder as the source code?
If you do, then maybe giving allegro a more specific path to use may help:
Code:
my_pic = load_bitmap("c:\image.bmp", NULL);
Just my guess, never actually worked with allegro before and dont know alot of C++ , but I know enough to read through a C++ program and tell what it does and to me the source looks fine.