C++ is a compiled language. A compiler creates executable snippets from source code that can be assembled into a program. You need to download that stuff because Jetbrains is not a compiler.
You have plenty of resources online as what a compiler does. The link is quite dated though.
MinGW is “Minimalist GNU for Windows”, The GNU toolchain is a set of apps that helps with building applications (and more). In that toolchain there is the GNU compiler collection GCC. The c++ compiler within that collection is g++.