When coding in C++ I tend to use Code::Blocks quite a bit. The compiler I normally use with Code::Blocks is MingW (which as anduril already stated is just GCC ported to Windows). Code::Blocks is great.
Visual Studio (VC++) is also an excellent IDE and compiler. The express version is available for free, and it should have more than enough features for any practice exercises and hobbyist programs you will be doing.
