(I suppose you are and will be working on Windows )
Code::blocks ->
http://www.codeblocks.org/
Hum what is it ?
Something that we are calling an IDE -> Integrated Development Editor (or something close to that

)
Stop the theory.
In C++ you need multiple things to get a program (.exe) ->
An editor (where to type the code). It can be Notepad ... or more evolved editors giving you the syntaxic colouration (very important to me

) and others utilities
An compiler -> program able to parse your code to prodce the .exe ... The compiler is a multi task process ... but we will simplify
Then you have an .exe \ o / (displaying Hello World

)
But you can have bugs (you will have bugs ... more than certainly). And to help you in the debugging process, you will use a debugger, which will be able to give you feedbacks on the program that you are running (values of variables ... stopping the program where you like to ...)
Now, the IDE is gathering all these tools in an unified interface.
So the IDE is the complete toolchain to do the developped. An editor, the compiler (MinGW for Code::Blocks) and the debugguer.
So please download Code::Blocks (with MinGW) and try to run a first Hello World
