How does it not install? You download the file linked, virus scan it, and run it. Then you select some options and it installs. You do however need an internet connection to install; perhaps that is your problem...
And yes, VC++ is far far better then DevC++. Not only is DevC++ buggy abandonware with an outdated compiler, but also VC++ has a great debugger, decent code prediction and intellisense and support for a number of C++0x features.
Umm... well I don't really know then. I suppose you could tell us which component failed to install. But you're more likely to get useful help about this on the MSDN forums. http://social.msdn.microsoft.com/Forums/en-US/categories