How to compile in C++, Java, and in other languages?

[Attention! This topic was copied from the Russian forum and translated in Google Translate.]

I know that the question may seem stupid, but still this question does not allow me to learn programming properly.

I tried to compile a simple "Hello World!" in C++ and Java, but "Ctrl + F9" and "File -> Compile" are not available to me ...

Need to do something in the settings of the program editor or something additional download for compiling?

At first you need any compiler. PSPad is editor, it doesn't contains compilers and linkers.
As second ypu need to set ypur compiler in the highlighter settings for C++
When you do it, you can compile using Ctrl+F9