I can virtually guarantee vc++ will not run properly on a flash key. You'd be better off with an open source program. They will probably have portable versions. For example, Eclipse might (but I haven't heard of) have a portable version.
The only way you're sure to get a portable compiler is with a text editor (ie notepad++ or gvim) and a compiler. And even then, no guarantees.
I checked, and Eclipse *can* be portable. If you have the JRE on your flash key, you can redirect Eclipse to seek out the JRE on it instead of its local host.
I'm not sure about Eclipse with C++.
http://portableapps.com/node/22236
all teh eclipse versions, however you will prob want to find one that doesn't come with PAc installer. Personally I don't mind it as it's open source.