Dev-C++
Introduction
Okay, I listed this here because people actually requested it. However, Dev-C++ (by BloodShed Software) is not strictly a compiler, but it does come with a compiler. The compiler it comes with is MinGW, but it will also work with Cygwin. Here is a direct quote from http://www.bloodshet.net/download.html:
Dev-C++ is a full-featured integrated development environment (IDE), which is able to create Windows or dos-based C/C++ programs using the Mingw compiler system (included with this package), or the Cygwin compiler.
Since it comes with a compiler, feel free to download it. But remember that you are on your own as far as using the IDE. All of my instructions/tutorials will be focused on command-line tools.
Obtainment / Installation
See http://www.bloodshed.net/devcpp.html.
Build Program: From Single File
Since it comes with it, see MinGW for further details.
Links
Dev-C++ Official Homepage