With regards to the free express edition of MSVC++
As far as I know there are no specific limitations which make it unsuitable for individual or small-scale development - it still compiles and optimises - which is pretty much all you need

I think the main differences between that and the newer paid versions are related to team based / enterprise development and other such stuff which is not much use to the average Joe.
One thing missing from the VC++ express download is any form of Win32 SDK; you get the c/c++ libraries and that's all she wrote. So to do any Windows development you need to download the PDSK from Microsoft (also free) and install that. Personally I think this is a better approach anyway, since at least that was people have an up-to-date SDK as opposed to using whatever came with the compiler for years on end.
Other limitations, related to the above, are some missing project wizards, though these can be re-enabled easily by editing some configuration XML files (there are various guides on the web detailing how to achieve this, you'll have to search if you're interested - I'm too lazy to either find a link or post the instructions

).
With regards to gcc/mingw on Windows
I'm not sure if the basic ming32 (with a "configure" step and what have you) works on Win32 - it didn't when I left just over a year ago. Around that time I did do some pretty successful tests with cross-compiling (that is, building on Linux but running on Windows). The changes made for that support would pretty much have provided complete gcc/autotools/mingw support across the board - unfortunately the required changes did not make it to SVN. I do not know if any work was done in this area after my departure.
Code:Blocks and gcc was pretty much working, as I understand it, but I don't know what the status of that IDE is, since I have not looked at it for a long time now.
Anyhow, a lot of rambling in here - hopefully some of it useful
CE