Visual Studio is what you need to work on Windows and produce Unreal applications for Windows.
XCode is intended for Apple developers.
Get the free Visual Studio 2015 Community Edition.
The installation works over the Internet and is highly modular. Make certain that you select components for C++ Desktop development (for use with Unreal) and also for C# and .NET development (for use with Unity and for developing Universal Windows Platform “store” apps). There are some components you probably don’t need, such as for Visual Basic, Java, Android, Phone emulation, etc. If you decide you do need more later, you can adjust the configuration and more parts will download.
As someone mentioned already, you need to let the install run to completion before attempting to do anything else. I haven’t looked ahead to see what the tutorials are on Visual Studio and C++, but there should be a simple first project to make a “Hello World” C/C++ application that you can run to see that everything is working.