which program do i do the basics on 'hello world'?

I am trying to learn the basic tutorial of 'hello world' but i don't know which program to do it under.

Do i do it under notepad or something?

You need a text editor (such as Notepad) and a compiler.
The most easy way is to get an IDE which will be making most of the work for you.
Some are avaiable for free, try looking at http://www.google.com/search?hl=en&q=c%2B%2B+ide+download&aq=0&oq=
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do you have to download it?

Dev-Cpp is a free compiler you can use; go to http://www.bloodshed.net/devcpp.html and download then you install and all and you have a compiler that works great!
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Is there a compiler that supports windows vista and also ubuntu linux?
Dev-C++ is an integrated development environment (IDE) that uses MinGW as its compiler. Since Dev-C++ hasn't been active since 2005, its version of MinGW is already obsolete, so it's advisable to either update it version, or use a different IDE altogether.

A program compiled by MinGW will work in any version of Windows since Windows 98.
If what you mean is a compiler that compiles for both Vista and Linux, then no. You'll need to cross-compile for that. Note, however, that MinGW is a port to Windows of GCC, so a program that compiles in it will very likely compile in GCC.
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