Not everyone knows that the Windows SDK includes a C++ compiler and linker that you can use if you don't have Visual Studio installed. Of course, Visual Studio Express is free, and you could use that to compile and link C++ apps. The advantage of using the tools that come with the SDK is that you don't have to install and configure a lot of stuff to get started. On a new machine that may appeal to you.
Gus Class has posted a super-quick 3 minute video
that shows how to compile one of the SDK samples using only the tools that come with it. I just wanted to elaborate on one thing. The SDK installs, by default, under Program Files. As you probably know UAC prevents applications from writing to any folder under Program Files unless the application is elevated. That's why Gus launches an elevated command prompt in this video. If you don't want to elevate your command prompt, you'll need to move the sample folders and adjust your path accordingly.
Three minutes. Worth a watch. It's always good to have some tricks up your sleeve on a new machine.