Installed Visual Studio without realizing it? Hmmm.
Is Visual Studio 2005 in your installed programs list, and what do you see
when you start it?
Do you get an option to create a new project, then the new project dialog
with language options and within language, project template options?
If so, you already have the C++ compiler installed.
If you don't see the above, you have several options.
You can download VC++ 2005 Express Edition free
(http://msdn2.microsoft.com/en-us/express/aa700735.aspx) then get expanded
C++ functionality by installing the SDK, found here:

http://www.microsoft.com/downloads/details.aspx?familyid=0baf2b35-c656-4969-ace8
-e4c0c0716adb&displaylang=en

If you have access to a full VS 2005, the single installation will give you
everything you need automatically.
You can also get the SDK and use the included native compiler from the
command line.

The big question is, when you say "software that claims to compile under
visual c++ ", what version are they talking about and what type of
application is it?