The Visual Studio DVD comes with an IDE that supports those languages. When you install VS, you then select which ones you'd like to install compilers and what not for.
The differences between VS and the Express Editions are things like proper source control, conditional breakpoints, release/debug settings, etc. As I said, nothing critical, just features that are time-saving and convenient.
I'm not sure if there's an Academic version of Visual Studio (which would be reduced cost, not free), but you're free to grab all the versions of the Express stuff and run them side-by-side. It's pretty much the same thing, and won't cost you a cent.
If you're still curious, I'd suggest checking out the FAQ:
http://www.microsoft.com/express/support/faq/. It does a decent job of summarising the differences between VS and the Express Editions.