Okay, there are two pieces to this.
The first one is that under Windows, you're going to need a Windows GUI library. You can write to the Windows API in several ways, but the simplest is to use Microsoft's own. That means picking up Visual Studio in some incarnation.
QT, Wx, and otehrs are all utility libraries built on top of the basic Windows API. They're good for portability to other platforms, but they necessarily add some complexity.
For C++, you need a compiler. Again, for Windows, the simplest thing is to use Visual Studio, but there are other compilers available. The most common free one is going to be the GNU compilers. The easy way to get those is with Cygwin, but that is a UNIX-like environment.
I think the conclusion is that for a beginner, you're best off with Visual Studio.
Once you get it, there are many tutorial around on the web and at Microsoft to learn to use it.