Cygwin
Introduction
In the official site's own words, "The Cygwin tools are ports of the popular GNU development tools and utilities for Windows 95, 98, and NT. They function by using the Cygwin library which provides a UNIX-like API on top of the Win32 API.". This set of tools includes a C/C++ compiler. It used to be known just as Cygnus. But then Cygnus became a company and now has been absorbed by Red Hat. So it took me a bit to actually find this ol' dog because cygnus.com simply goes to redhat.com.
By the way, it's free.
Obtainment
You can download it for free. See the official homepage for more information.
Installation
Haven't bothered trying this out yet ... will do in a while.
Build Program: From Single File
Since it's a port of GNU development tools, see GNU C/C++ for how to do this.
Links
Cygnus GNU C/C++ Compiler Installation Help for Win32
Cygwin Official Homepage