Eclipse is where it's at, dawg. I used to shun doing Eclipse because it's built on Java, but it's a damn fine application. Dev-C++ is so freaking antiquated and buggy these days, just don't bother. And MS Visual C++, the last I used it, doesn't adhere to the ANSI C++ standards, which means learning Microsoft C++, not C++ that everything else ever uses.

Get Eclipse for C++ developers. It's seriously a darn fine IDE and that package has, I believe, MiniGW packaged with it, which is just a Windows build of common Unix build tools (including GCC). At work right now I'm doing a project where I have to do a SQL database, Java server backend and a Flex client app and I can manage all three of them from the same window in Eclipse without any difficulty. It's gr8.