Eclipse gave me the habit that if I make some small change I will immediately get a compiler error with an underline showing the error. Seems reasonable enough that VS should be able to do this.
Eclipse has implemented their own Java compiler, and run that in the background every time you type a word to be able to detect and underline errors. I don't know if I'd call that "reasonable". ;)
It's a lot of work to implement that feature, even in a simple language like Java.
In C++, where, as you've discovered, compiles may take minutes, it's harder still.
Visual Studio 2010 is going to implement this feature (again, using a separate compiler, which is much stripped down, and won't always provide correct results -- that's the compromise necessary to ensure that it's fast enough to compile on the fly).