How and where to write the code for C++?

Don't start by downloading something at random, and getting started!
Find a tutorial - or better a course, or a book - and use the software that they use.
In most cases, that will be Visual Studio which includes support for a large number of languages - but follow the recommendations of the tutor or the the book's author. It will make following the examples a whole load easier! The course or book should guide you into the process of creating your first application with simple, clear instructions.

I wouldn't start coding with C++ as my first language - it's a big, complicated language where there is a huge amount that you can do wrong that is hard to fix when you are starting out. Instead, I'd start with a simpler (but no less powerful) language such as C# if you have a choice.