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I have recently started learning C++, but I require a compiler. I have tried the one packaged with Code::Blocks, but I have been told it is out of date.

I have tried reading the instructions on the website, but I simply don't know which files to download and un-zip. Is there a list of files to download? (latest version) and a folder structure I need?

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I was the person that pointed you at the more up-to-date version at Twilight Dragon. The file you want there is http://sourceforge.net/projects/tdm-gcc/files/TDM-MinGW%20Installer/1.908.0/tdm-mingw-1.908.0-4.4.1-2.exe/download which is a Windows binary installer - you just run it. Note that you don't actually need to do this - the version that comes with Code::Blocks will work OK for someone starting to learn C++.

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Yes, awfully sorry about this, I should have checked my previous question :( I ended up using this one, thanks!
@Neil: Does that version finally support Unicode or is it plagued by the problems the official MinGW has?
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I recommend using a pre-packaged MinGW that includes some common APIs like Boost, SDL etc: http://nuwen.net/mingw.html

If I remember correctly, the only thing you must do to get it working is to modify Windows's PATH environment variable.

edit: OpenAL is not included in this package.

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This is great. More people should know this distribution! +1.
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Here are some instructions to have a MinGW setup that I used to build Octave modules.

I have switched to using the build environment for msysgit. Just download the netinstall file and it will setup GCC, Make, etc. along with Git.

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