There's a fortran compiler in the gcc compiler collection, g77. As the name suggests, it only supports fortran 77 though.As for getting started, I'd suggest installing linux, as it comes with at least perl, C, C++, fortran, and python. You can't beat the price either seeing as it's free.

If linux isn't really your thing, you can still get some good programming tools free for windows. Sun gives away their JDK for Java development at http://java.sun.com, perl is available from www.activeperl.com, and there are many free C/C++ compilers available although none of them beat microsoft visual studio.