Your C++ compiler has to match the C++ compiler used to compile Python - which, I think, by default, on Vista is Visual Studio 2008.
However, the weave module is not actively maintained, and there are much better options right now for interfacing with C/C++. I would highly suggest that if you have some performance-critical part of your code, you either use Cython, or, if it is a simple numerical expression, use the amazing numexpr package.
I warn you though - while pure Python code is very portable across platforms, interfacing Python with other libraries (mostly, C and C++) is a huge pain on Windows. If you really want to continue, I strongly advise you take advantage of Christoph Gohlke's work:
http://www.lfd.uci.edu/~gohlke/pythonlibs/who has done all the hard work has made binary installers for most of the hard-to-compile Python libraries with C and C++ dependencies.
Federico