So basically there is no built-in compiler that comes with windows OS? by the way, whose photo is it in your avatar?
As far as I know, there is no "built-in" C compiler for Windows. Just google MingGW, Codeblocks and Eclipse and you should be right.
My avatar ... well if you're a true lover of music (and I mean real music) you should know. It's a picture of the great one known as "Frank Zappa". If you appreciate FZ, you'll understand the meaning behind the user ID I use on this forum.
The only built in compiler I remember was for BASIC, a long time ago. I do not think even that is built into the latest Windows systems. If you want to stretch the definition of 'compiler', you can write and run HTML on a fresh Windows install. :D
The reason Linux has a built in C compiler is because of the tradition for building everything from source. Windows packages are distributed as binaries, so a compiler is not needed.