3d Game Programming All In One does not teach you to program C++, it teaches through several examples of TorqueScript, which is a scripting language for the Torque Game Engine that is similar to C++.
If I remember correctly you're doing the part where you output "Hello World" to the screen on some background. Double check all the steps to make sure you're executing "tge" properly from the command line, including directory and file setup.
My favorite free compiler is Borland command line tools,
http://www.borland.com.
Crazy Donut Productions
Current Project: A Redneck game