Sublime building!

[kam hagh]

hi, im really confused , i ran mingw-get-setup and after that there was few installers , when i press CTRL + B i get this:

[Error 2] The system cannot find the file specified
[cmd: [u'g++', u'E:\\Software\\MinGW\\bin\\First.cpp', u'-o', u'E:\\Software\\MinGW\\bin/First']]
[dir: E:\Software\MinGW\bin]
[path: C:\Program Files (x86)\AMD APP\bin\x86_64;C:\Program Files (x86)\AMD APP\bin\x86;C:\Windows\system32;C:\Windows;C:\Windows\System32\Wbem;C:\Windows\System32\WindowsPowerShell\v1.0\;C:\Program Files (x86)\ATI Technologies\ATI.ACE\Core-Static]
[Finished]

im pretty sure i haven't installed the MinGW right , so , can anyone tell me how exactly to do? i searched net alot , im really confused right now !