andLinux & coLinux
coLinux is a Linux kernel recompiled as a win32 (Windows) binary, which allows you to use linux binaries inside Windows, without any recompilations. With the adjunction of a win32 X server, you can even display graphic applications.
All this is integrated in a pre-made distribution : andLinux. You only need to download the installer (you can choose Xfce or KDE), and install it.
After installation, you can use Synaptics (yes, even Synaptics works !), and install various software and packages (like g++)...