Free Microsoft Compiler & SDK? check.
Now I need is a Standard C++ Library (Microsoft licenses the one in Visual Studio from Dinkumware; Not surprisingly, it’s not part of the .NET SDK). But the Dinkum site mentions the competitors, and one of them is STLport.
Of course, other people are way ahead of me…
Update: Microsoft includes their Standard C++ Library in their official free download of their C++ compiler (link from Joel. (I believe those are command-line tools, so if that scares you, look elsewhere).