KDevelop is the nearest thing Linux has to Visual Studio. You'll find other IDEs if you search for them on freshmeat.net but don't expect anything more MS-like than what you already have.
The easiest way to compile a C++ program (in my oppinion) is on the command-line. The command is
c++ options *.cpp -o outfile
is either -O3 to optimise your code or -g to add debugging information. *.cpp selects all the files ending in .cpp (all C++ files in the current directory) and outfile
is the filename of the binary to be produced.
To compile a project in KDevelop, you just need to import the source files (I think you can just drag them onto the project window), and then choose the compile option.
Some projects use automake, configure and so on to set up things that need different compiler flags depending on the project; if you create a project in KDevelop then it will set all of this up for you and you just have to click on compile and say yes a few times.