If your OS is:
Linux. You already have everything. Make sure to install g++ if it is not already there.
OSX. You already have everything. It may come with g++ pre-installed. However, if it’s not the case, install Xcode or its Command Line Tools. This link may be helpful. Open the Terminal and you are good to go.
Windows. Install Cygwin. These instructions (although a bit old) can help you to install it together with g++. When installing Cygwin, make sure you chose to install gcc-g++ package.
Web-based. If the above options don’t work for you, there is a good online development environment.
For this class, I strongly discourage using Xcode or any other IDE. We need only a text editor and a terminal window.
On Mac OSX, use a simpler text editor, for example TextMate, it’s a good free option. Use it only for editing code, run your programs from the terminal.
On Windows, Notepad++ is a good free text editor I can recommend.