I've made a small game in Allegro, but every time I run the .exe file it opens both the allegro window for the graphics but also a command line window even though I don't have anything that prints to it.
It's kind ugly to have the cmd window next to the game window, so I wonder is there any way to not show it?
This really isn't specific to Allegro. The behavior is dependent on your compiler's linker settings.
Under gcc it is:
-Wl,--subsystem,windows
For MSVC:
/SUBSYSTEM:WINDOWS
If you use an IDE, look somewhere under the linker settings. It may also be referred to as something like "console" vs "windows (or GUI) application." You'll want the latter.