For C++ development on BeOS, you'll probably be using GNU C/C++ compiler. When you setup BeOS from a purchased CD, you'll have the option of installing the development tools. Those tools include the BeOS port of GNU C/C++ compiler. If you downloaded the Free Personal Edition, then you'll have to download those tools seperately.
A console on BeOS is called a "terminal". You will find it listed under "Applications" in your BeMenu: