The way I got it to work was:
You need the following:
* A c++ compiler -- I downloaded mingw, I'm sure there are others.
* A make program -- mingw comes with one.
Sublime tries to call 'make' from the command line when you build your project. The make program mingw comes with is called mingw32-make.exe, so I renamed it to make.exe so that sublime can recognize it.
You also have to add mingw's \bin folder to the windows PATH so that it's visible to sublime.
So now that you're all set up to run make and compile the program, you have to make the makefile. The makefile should be called 'makefile' with no file extension (you might be able to call it something else, but I'm not sure what. Go google it)
If you know how to make makefiles, great. I had been using Visual Studio for years though, and I was incredibly ignorant of how they work. I just knew that they were important for compiling linux stuff from source. Anyways, I googled for makefile tutorial and used this site: http://www.opussoftware.com/tutorial/TutMakefile.htm
So once you figure that out, just put the makefile in your Sublime project directory and then hit build. If you made the makefile correctly it should work.
I know it's not the best how-to, but maybe it'll help. It might be easier to just compile your stuff from the command line directly and skip the makefile.
If there's an easier way to do this please tell me haha.