Yeah, not sure why the setup doesn't work, maybe re-download and try again?
C++ is a large, complex and sometimes needlessly difficult due to backwards compatibility issues (it's a few decades old now, obviously technology has completely changed in that time). If you pick it as your first language to learn you're going to get a baptism of fire, but then other languages will be nice and straightforward in comparison!
You can't learn C++, or any programming language, or anything, in 21 days. You need practice and experience to be a good programmer. I don't think I could have described myself as a "good" programmer before this year (2010), and I was coding as a hobby for several years before that! Give it time, but it's cool and fun, so good luck
Construct 0.x has to use Visual C++ because the plugin-to-IDE interface is designed with compiler specific features (i.e. badly designed). So I'm afraid you probably won't succeed in getting other compilers to work with the SDK. This is something that's going to be improved upon in C2.