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IDE - Integrated Development Environment. An IDE is a software application, that supports you in all phases of software development. It normally has a code editor, a compiler or interpreter, a debugger as well as several additional tools, that simplify your development cycle a lot.
One of the most widely spread IDEs is Microsoft's VisualStudio. It is available for several programming languages such as C++, VB.NET, C# and J#. One big plus is also that the Express versions are for free and may even be used commercially.