There's really no benefit in using ancient compilers. They're just not up to the job. And there's also really not much point in not being familiar with Microsoft Visual C++ - yeah, they're Satan and all that, but it's the industry standard. It's OK to know other compilers *as well* as Visual C++ but every sensible Windows programmer needs to know VC++.
So by all means struggle and make your own life really hard for yourself, or get the compiler that was written by the people who wrote the OS. If you're so anti-Microsoft that you refuse to use VC++ on those grounds, fair enough, so do the job properly and stop using Windows altogether; get a Linux box instead.
Visual Studio itself is a premium (and expensive) product but you can get Express versions for free. The express versions are missing a few features, of course, but they are adequate for programming Windows.
You don't have to use MFC; you can hit the WinAPI directly. It's not really that difficult to use the API; I've done loads of programming and the API level and sure, it's quirky, but it's very powerful.
Console apps are fine if that's the design of your program. But you said you want to use graphics. So console isn't the way to go. It's harder, but get hold of Petzold's Programming Windows and work through it, and you'll be flying (yes really).
You don't need to use SFML unless you want to. Best bet is to familiarise yourself with the WinAPI. Don't be afraid of it. It's very powerful and everything is built on the API anyway, so why not cut out the middle man. The only reason to use an intermediate graphics library is for portability, which you haven't said you need, so IMHO just hit WinAPI directly.
You can certainly achieve everything you could in Olde Borlande and a heck of a lot more. It'll be like going from a pogo stick to a Formula 1 racing car.