Anh Son,
Setting up Eclipse is pretty easy. If you haven't had Eclipse, download
Eclipse IDE for C/C++ Developers here. If you already had Eclipse (for Java, etc.) and would like to add the Eclipse CDT (C/C++ Development Toolkit), download it
here. Extract the compressed file to any place you want and that's it: no need to run any installation.
When you first run Eclipse CDT, it will ask if you want to use either Cygwin or MinGW as the compiler. Visual C++ compiler is not officially supported here. Although you can create a make file manually to call the Visual C++ compiler, you still need "make.exe", which is not in the definition of Visual S.
I know at least a few members here that are Eclipse experts. Feel free to ask if you have any specific question about it. The best manuals are of course by Google and
www.eclipse.org