Have been writing some C++ code lately. Been trying out Visual Studio from Microsoft, the 2010 Express edition which is free. I guess it's OK when you get used to it. You have to create projects, and I created both executable console applications and DLL files while I was playing with Microsoft Detours 3.0. Compiling is found under the "debug" menu.
Another way to write and compile C/C++ is by using Bloodshed Dev-C++. It's a bit more lightweight. I miss all the cool functionality and design in Sublime Text, and it's possible to set it up compiling with "CTRL + B" (CMD + B).