IDE: Under Windows, I've used
Codeblocks, a free and cross-platform IDE for C++ and others. cc's proposal of Microsoft Visual Studio Express should also work nicely.
Some consider bloated what others consider essential, so you have to choose if/which IDE to use yourself in the end. Guyperfect will likely recommend not using an IDE at all, and just doing everything with the command line. (-: You might learn some fundamentals that way, and it is not hard either.
Without IDE: Use any text editor, write a hello world program, and save it somewhere with .cpp as the extension. Open a command line, switch to the file's directory and type
g++ yourfile.cpp. If you get no console output, everything works, and there will be a generated executable in the same directory.
If you get compiler errors, fix the source. If you get "g++: command not found" or similar error, see whether there is an executable named g++ among the executables installed by MinGW. If there is none, but there is
g++-win32 or similar, copy that and name it
g++. If the command is still not found even though g++ exists, add the directory containing the MinGW executables to your PATH variable. Hunt around the web for how to do that on your Windows system.
I'm sitting in IRC, should you need quick help.
-- Simon