Download and install devkitPro. It's the homebrew toolchain for Wii and NDS, and it comes with a compiler.
http://sourceforge.net/projects/devkitpro/
The devkitARM package is the actual NDS compiler package, and you will at least want libnds as well. If you are on Windows, just grab the installer/updater and run it. If you're on Mac/Linux, take a look here for manual installation instructions.
http://devkitpro.org/wiki/Getting_Started
*note to other posters: He said he wanted to compile NDS homebrew. g++/VSE/devcpp are PC compilers