If you are targeting Windows platform, I suggest using Visual Studio Express 2008. To make it fully function, you will need also Windows SDK (for Windows Server 2008 and .NET Framework 3.5). Both are very large files. If you want to download for offline installation, I suggest using a download manager, and use only one thread, do not use multi-segmented (or multi-thread) to download the file.
Unlike Windows Server 2003 SP1 Platform SDK, the Windows SDK (version 6.1) provides the project solution of DirectShow BaseClasses. So, you can compile the DirectShow using Visual Studio C++ Express 2008. Besides that, you can also download DirectX SDK.
Visual Studio Express doesn’t provide MFC and ATL. However, you can still using basic Win32 API and the COM without ATL. That means, you can still do a lot of thing.
However, the DirectShow doesn’t have the example “GrabBitmaps”. So, in order to study how to grab bitmaps using DirectShow, you might need to download the old DirectX9.0 SDK which includes the DirectShow. But you cannot compile the old DirectX9.0 SDK with Visual Studio Express and Windows SDK. Because there are some differences in the header file. So, you can search from internet the tutorial about grabbing bitmaps using DirectShow.
I just change to Visual Studio Express 2008 from Visual Studio 6.0. There are great differences. The interface and the usability are far more better than 6.0. And surely, Visual Studio 2008 uses more memory. But it provides better IntelliSense than 6.0. And I think, I might need newer compiler such as Visual Studio Express 2008 when compiling some open source libraries. That is why I start using VSE2008.