And it's much easier on Windows I think. In linux you have to build the shit and update everything.
Which linux distribution are you using?
In Ubuntu it's pretty much just
sudo apt-get update && sudo apt-get upgrade
for updating every program you have on your system, including gcc & friends.
If you don't want to use the command line there is a fairly simple gui that does the same thing[1] at the click of a button and it has been installed by default for many years now.
[1] this is somewhat equivalent to microsoft's windows update program, only it applies to everything you have installed instead of just the base OS.