Try CodeBlocks (for windows, make sure you download the one with mingw (the compiler)).
For Linux, just ask your package manager system! For the compiler: 'build-essentials'. For a good IDE, either 'codeblocks' or 'kdevelop' (I prefer the latter).
All these are based on the GCC compiler. So, for just the compiler, you can get either gcc in Linux/Mac or MinGW in windows. But then, you have to write the software in a text editor (emacs or vim) and then compile in the terminal (or command prompt).
You can also try the Microsoft products, like Visual Studio Express Edition (which is free). Personally, I'm not a big fan of their C++ related products (mostly their compilers are shit).
Trolltech offers a community edition of a C++ GUI toolkit that works in conjuction with the GCC compiler on Windows, Linux, and Mac. It is similar in usage to the GUI aspects of the Microsft VS series, but can be used on any of the above platforms based upon which poatform your GCC compiler is installed.