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What compiler to use for DirectX

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All I want to do is find a compiler that I can use to start learning DirectX, I have Dev-C++ and I keep getting "undefined reference 'to _except_list'" when I use the d3dx9 library, so I tryed Visual C++ Express Edition because everyone was saying that you should just get that and everything would work fine, but now I have an error "fatal error C1083: Cannot open include file: 'windows.h': No such file or directory" and I try to add it into the include folder and I just get an error saying that it can't open a different one and it just keeps going. Is there any easy way of fixing either of these two problems, or is there a free compiler that can use DirectX without any problems?

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haha after this post (see bottom), I would go 2003.

It is very likely I had a compiler setting checked called, 'add 4 hrs to project'.

In my experience, 2003 is more reliable with publications and articles and frankly more in sync with my own qualms about what my compiler should do - to say it is more familiar with settings that might be tucked away.
=P 2c.

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I use dev c++ and had trouble getting started but once i did get it set up it works a treat. The undefined reference is what i had when starting if you choose dev c++ ill be happy to help you set it up.

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ahhh, it's so nice to finally see that pathetic little triangle show up on the screen and not have a bunch of random errors. I'm using VC++ to do it, thanks for all your help.

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