The Intel C++ Compiler ultilizes the linker/libraries/headers of Visual C++. But you only develop from a command line, you can use the free VC express edition & the SDK. See the article with detailed requirements.
The Intel C++ Composer XE for Windows comes with Intel MKL & IPP too.
You can use the "compilervars.bat" to set up your env. Read the script, it needs proper parameters.