Get visual studio (I have 11 beta, but it's probably outdated).
I take C++ at university so we learn in Unix (which uses g++ as mentioned earlier).
The g++ compiler - Cprogramming.com
I'm guessing you could install it and run it from cmd.
As far as getting it to an exe, I can do that in visual studio but for the most part you'll compile as .cpp and run the output file.