You need a compiler. What operating system are you using? If MS-Windows then download and install either Code::Blocks with MinGW or VC++ 2010 Express, both are free. If *nix then you probably already have the compiler named gcc. But you need to tell us about your computer and operating system before we can provide more details.
Since I don't know if you are new to programming in general or not, I'll try to cover some basics (just in case).
For development you will either need an IDE (Integrated Development Environment) which includes a compiler, or just download the compiler.
Personally I find IDEs to cause more problems for me than it solves. A lot of people use IDEs because it handles some things for you, but I find all of the "magic" it does for me hinders my understanding of how it all works. But try them out for yourself to get your own thoughts on them.
If you choose an IDE for C++ the top ones are Microsoft Visual C++ (a nice IDE, only thing is it's made by Microsoft) and Code::Blocks. (I'm too lazy to post links right now. :)
If you choose a compiler I would recommend MinGW. It's simple to use and fairly popular (so if you have issues you can find help with it.) You also need (of course) a text editor. A program like Notepad would work, but I prefer one with text highlighting (certian keywords show up in different colors.) I use Notepad++ for this. It supports many programming languages so if you want to learn others it will work for them as well. And it too is pretty popular.
I hope this post helped you out a little, and I'll try to keep up on this thread if you have any other questions. Feel free to PM me too if you need any help.