Yeah, the links JincS and Radical Pi gave you are good.
Also, I recommend you use the http://forums.codeblocks.org/index.php/topic,3232.0.html
as an integrated development environment (IDE). http://www.bloodshed.net/devcpp.html
is decent too, but it hasn't been updated in a few years and seems like it won't ever be updated again, while Code::Blocks is constantly being worked on (the latest nightly build was released today). Code::Blocks works well with practically every library, and is extendable through plugins.
If you get interested in making applications with a graphical user interface (GUI) with Qt (which I recommend...it's free and has an open-source version - wxWidgets is pretty good too and has a less restrictive license, but I still like Qt more), I suggest using a different IDE such as http://www.qdevelop.org
, because I don't know of any general C++ IDE that doesn't have problems with Qt (this is partially due to the fact that Qt kind of adds its own extensions to the C++ language, which need to be processed by it's "meta-object compiler").
And, once you think you are good enough at C++ to start making games, I suggest you check out http://www.libsdl.org
, a free cross-platform library that includes keyboard-input routines, primitive graphics routines, the ability to use full screen and sound, and more. http://lazyfoo.net/SDL_tutorials/
has a lot of good SDL tutorials. You also will probably want to use OpenGL for advanced graphics, which SDL integrates well with. http://videotutorialsrock.com/
contains many good OpenGL tutorials, in the form of videos and text.