What I did was download Linux online. I downloaded Linux Mint 10 (code name Julia) but there are other Linux OSes like Ubuntu. Here's a link to the Mint download.
Depending on your computer's specs you'll need to download either the 32-bit version or 64-bit version, and you'll have to decide on a desktop. Gnome and KDE are pretty popular (I personally like KDE) but you can do research on different desktops.
Once you download Julia (if you decide to go with mint, a little research might help with a decision) you'll need to burn the OS to a blank DVD. After burning go ahead and put your live DVD into your computer and restart. A Linux demo should boot up with an installation icon on the desktop. It's going to ask you if you want to replace windows (assuming that's your current OS) or dual boot. If you decide to dual boot Linux you're going to need to make 2 partitions; one for Linux and a swap partition.
If you're going to dual boot Linux with Windows then you're actually going to have to free some of your hard disk space before booting your live DVD. You can do this by going to disk management under your computer management and right clicking your C: drive partition and selecting "shrink volume". Your computer will tell you how much space it's capable of giving up. After that you can use the freed space for your Linux and swap partitions. You'll need about 2GB of memory for your swap partition and I'd just use the rest for Linux.
I'm new to Linux myself but this is what I did and I've been happy with the results.
As for an IDE. Qt creator is what I'm using, it's cross platform and if you like MFC you'll probably like Qt (imo). It takes a little bit of getting used to though. But a little research will help you pick an IDE. Note that on Linux installing software is different than on Windows; in Linux you have to (actually I think there are other ways but idk them) use the Linux terminal to install software and that means you'll have to learn terminal commands (which is similar to using the Windows command prompt).
I hope this helps, if you haven't figured this out already
Good luck and enjoy your new OS. Linux is awesome! imo.