MSVC (Microsoft Visual C++) is Microsoft’s C++ compiler toolchain. It can be installed from Visual Studio Build Tools, or Visual Studio Community. Either can be downloaded here (Any somewhat recent version should work).
Make sure to select the C++ build tools (or Development, respectively) and "C++ MFC for latest v14[X] build tools" (just pick the latest version - e.g.v142). vcpkg also requires the English Language pack which is found in the Language packs section of the Visual Studio Installer.