beginners help

I am currently trying to teach myself C++ and am struggling just to compile it. I downloaded Visual Dev C++ off the net which came with no instructions and even though I've copied the hello program word for word it still will not compile. (It gives errors that it simply does not understand any of it)...

First two errors are:

1 C:Dev-CppHello.cpp
In file included from C:/Dev-Cpp/Hello.cpp

28 C:DEV-CPPincludec++iostream:44
bits/c++config.h: No such file or directory

What I need to know is that
1) Is it like java in that you need to set something (ie classpath) first
2) Do you need to use a software to compile the programs ( In java I did
everything in MS DOS)
3) (if so) Whats the easiest software to use



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