Okay, everybody has said Visual C++. I'm a linux user. I could mention several other compilers but I haven't really dug into the guts of Windows since 2006 so I wouldn't trust my answers on Vista or Win 7 -- for the most part and neither should you.
Dev-C++ I want to warn you about. The home page has not been updated since 2005. What it is is an IDE for a port of the GCC compiler. GCC has been upgraded, substantively, several times since 2005. So there is a new IDE for the latest port -- of the type that Dev-C++ uses -- called Visual MinGW:
http://visual-mingw.sourceforge.net/
Both Dev-C++ AND Visual MinGW use the MinGW port.
http://www.mingw.org/
http://sourceforge.net/projects/mingw/files/
Also available as a port is gcc as Cygwin, actually both are GCC and almost all the GNU Tools which with the Linux kernel are called the GNU/Linux OS, so both are sometimes called Unix emulators despite being quite able to compile Windows programs which will run in Windows only. Cygwin is sponsored by Red Hat, which is the largest Open Source/GNU/Linux company in the world:
http://www.redhat.com/services/custom/cygwin/
Its page says it runs on Vista and 2008 Server as well as older systems, but rest assured if it runs on those two systems it will run on Windows 7.