If you want fast things, you should keep Windows XP SP3 or Windows 7. Also Windows XP w/o SP3 goes Ok.
Linux is kind of more limited for some beginners.
The common free IDE is Code::Blocks, also on Linux.
For windows, download it with the MinGW installer here:
http://www.codeblocks.org/downloads/26
( codeblocks-10.05mingw-setup.exe )
Also there is Microsoft's Visual Studio 2008 Express
(
http://www.microsoft.com/it-it/download/details.aspx?id=20682 )
It's free but Windows-only, and is kind-of better from some Point of Views, like, secured functions that helps you hevitate buffer overflowing (Accessing memory you don't "own").
They can also be done with Code::Blocks anyways (Just some beginners don't notice them as fast as on VS08), and, as far as you use STL,
(Extended Name: Standard Template Library)
("using namespace std" at the beginning, or "std::*TYPE*" as a type)
you will not have to worry about them.
And yes, switching from Windows to Linux is a big difference.
Switching from XP to 7 isn't.
Switching from 7 to XP may be, due to some Graphical Issues with W7-only Windows Forms.
But, as a beginner, you will use the console and you will not have to worry about them right now.