Here's a recipe for a lightweight free (as in beer) C++ software
development system for heavyweight tasks on Windows. Download the latest Windows Platform SDK (OK, it's enormous, but bear with me). Get the SCons Python-based software
construction utility, and a compatible version of Python - I think SCons still likes Python 2.5 best. Download any free libraries you need - for me that's the OpenCV computer vision library. The harder part that will repay you many times over is to map out the paths to all the libraries and include files you need and put them into a nicely commented SCons sample script. Now, by cutting and pasting, you can derive new projects from old ones, and get things done faster than with Visual Studio. You also have Python available for writing automation scripts.
Top it all off with the Notepad++ text editor, IrfanView for quick looks at images, and of course Firefox for looking at reference material and Googling Windows error messages. OK, sometimes you'll miss the Visual Studio inderactive debugger, but that's life in the free lane.
If you're writing GUI apps, however, go immediately to http://www.qtsoftware.com/
and get the free Nokia/Trolltech Qt4.5 framework.