Can somebody go into detail with me about what I need to do from scratch to the point where I can hit build and run and successful compile a valid C++ program without any build/linker errors?

I use Windows Vista.

If you use the stable version, you just run the installer and you're ready to go. If you're using a nightly build, there's not an installer and you have to add the necessary components manually. Have you gone through the steps here?

It seems MingW doesn't work on vista. How can I configure a different compiler?

>How can I configure a different compiler?
Go to Settings and select a different compiler that works with Vista. With any luck there will be a compiler plugin for it.

Windows Vista works with purely .Net platform. Thats the reason why most older programs won't work when using Vista. An example is visual studio 6.0. It is rejected because it has serious compatibility issues(They say something to that effect!). The trick is making sure your compiler is a .Net compliant. Try visual studio 2005 or 2008. They are both .Net platforms. Success.

Ok so I got fed up of trying to figure out how to do it on Vista, so off I went to my XP partition and followed the instructions in the wiki Narue linked to. THis is what I'm getting (red fonr and all)

Execution of 'mingw32-g++.exe -Wall -fexceptions -g -c "D:\Documents and Settings\admin\My Documents\C++ Projects\FirstTest\main.cpp" -o obj\Debug\main.o' in 'D:\Documents and Settings\admin\My Documents\C++ Projects\FirstTest' failed.

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