No Dante doesn't like Lady. It is implied that she likes him but it's not confirmed that if it's true or not.
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Devil May Cry got its name from a line that Lady said to comfort Dante during the end of DMC3. After losing Vergil in the Underworld, he came back to Lady, returning her rocket launcher, Kalina Ann, and stating that the demons were gone but will be back very soon. She looks up to him and sees what she never expected from a demon. Lady: Are you crying? Dante: It's only the rain. Lady: The rain already stopped. Dante: Devils never cry. Lady: I see. Maybe somewhere out there even a devil may cry when he loses a loved one. Don't you think? Dante: Maybe.
no you geek
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After numerous battles, an encounter with a being calling itself Jester,[18] and another run-in with Lady, Dante attains the tower's summit and battles Vergil. Vergil soundly defeats Dante, steals Dante's amulet, and departs. As a result of his defeat Dante's dormant devil powers emerge, and he sets off in pursuit. After numerous battles, an encounter with a being calling itself Jester,[18] and another run-in with Lady, Dante attains the tower's summit and battles Vergil. Vergil soundly defeats Dante, steals Dante's amulet, and departs. As a result of his defeat Dante's dormant devil powers emerge, and he sets off in pursuit.
From what ive heard you have to beat Dante must die mode, you'll unlock Super Dante and Super Nero which have unlimited Devil Trigger