What you need is a C++ Compiler, many of which include an IDE (Integrated Devlopment Environment) to write the code in (otherwise you'll need a text editor).
See http://www.cplusplus.com/forum/windows/2573/ for a few options on Windows.
Once you have that, try working through the tutorial on this site, http://www.cplusplus.com/doc/tutorial/ which introduces a lot of hte features and syntax.
Then pick a (simple) problem and try to solve it - if you need more help, post and someone is likely to try and help:-)