On Windows: http://www.microsoft.com/visualstudio/eng/downloads - Visual Studio, look at the express editions they are free. You can also install the MinGW from www.mingw.org/ but this may be tricky for beginners
On Mac: If you have latest OS, you can download Xcode from AppStore or download it from developer.apple.com (or you can install GCC/clang on your own)
There is also relatively new compiler called clang (http://clang.llvm.org) that you can install on Linux/Mac/Windows