I deduce that the VC++ Toolkit 2003 is 'too lite'.
That depends on what your intended use is. With the toolkit by itself, I believe you're limited to standard C and C++ based console apps. But add the Microsoft Platform SDK and the sky's the limit.
I have the opportunity to use the Visual Studio 2005 Express Edition, which is a free version of Visual Studio 2005. Do you think that it is a good idea to try it first?
Yes, though not necessarily through Code::Blocks. Visual Studio is a competitor with C::B, on a usability basis if not a monetary one, so check out the competition and decide what fits your needs. I use both C::B and Visual Studio regularly, professionally and as a hobby, because each is better at certain things than the other.
The code I'm trying to compile is not mine but provided as tutorial. It has been developped under MSVC compiler, I guess the same as yours.
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Unfortunately the snippets of code I want to reuse are only compilable under MSVC compiler...
If this code is intended only to be learned from, I would strongly recommend you drop it (if possible) and find a tutorial that is compiler-agnostic. Learning to write code that only works on one compiler (and is therefore not standards compliant) will only hurt you in the long run. If you truly have no alternative to using this code, then you'll still need to provide further details before you can be helped.