There are several compilers that can be used to build Blender. If you are on a Linux or Unix-like system you may already have a compiler installed, probably gcc. On other platforms you may need to acquire them seperately.

Simon Clitherow wrote a good tutorial on installing the free compiler toolkit from Microsoft: Microsoft VC++ Toolkit 2003

note: to install all needed packages you need a minimum of 1GB free HD space (.net framework sdk, directx sdk, platform sdk, etc.)

The debug tools that come with the .NET Framework SDK version 1.1 can handle only managed code, so after a search I found a very good debugger from Microsoft: www.microsoft.com/whdc/devtools/debugging/installx86.mspx

The GCC compiler comes with most Linux distribution and is available for many Unix-platforms.