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use terminal*, or use geany http://www.geany.org/Download/ThirdPartyPackages#ubuntu

*(very basic) example:
1. compile:
user@ubuntubox:~/files/cpp$ g++ hello.cpp -o hello

2. run
user@ubuntubox:~/files/cpp$ ./hello
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I use Code::Blocks on Ubuntu 10.10: http://www.codeblocks.org/ . I just thought I'd throw this here since terminal compilation was already covered.
gedit is just a text editor, not an IDE. A compiler is a program that translates source code into executable code, a text editor is where you write source code, an IDE usually has both, a source code editor and a compiler (+ a number of other tools). To get C/C++ compilers for Ubuntu, you need to install the package build-essential. As an IDE, I suggest Code::Blocks, which IIRC you can install through the package manager as well.

My original explanation was longer, but it was eaten by the "no pw" error, and I don't feel like typing it again. Ask if you have questions.

PS: Compiler are usually tools without a GUI, which means you have to address them from the terminal (you probably have bash or sh). Get used to the terminal, especially in the linux world you will see them more often than in windows. And you will learn to love them, they can be quite powerful compared to GUI tools.
Open a terminal and use g++. If it is not installed, Ubuntu will tell you the command to install it and everything.

See my last post here:
http://www.cplusplus.com/forum/lounge/37244/
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