If you're not totally set on putting up with C++, and as you've mentioned possibly using .NET components, it might be worthwhile to consider using C# in conjunction with
SlimDX instead.
In short, SlimDX is a thin wrapper framework for accessing DirectX through C# and is actively supported and updated by its creators to keep up with latest DirectX developments, unlike say, Managed DirectX which has been completely abandoned years ago, or XNA which only supports up to DX9 and has a more limited featureset due to being intended for XBox360 development. There has also been at least one commercial release of a SlimDX based game that I know of, so it's not a complete underdog
Unless using C++ is an integral part of your endeavour (if it is, you may ignore the rest of this post), using C# would allow you to avoid lots of unnecessary hurdles and let you concentrate on actually implementing the features/logic of whatever you're planning to do. Besides that, Visual Studio's support for C++ is, while not
bad, certainly nowhere near the level of its support for C#, simply due to how difficult C++'s archaic language design makes things for IDE developers.
Performance shouldn't be a concern either - you're hardly going to be developing the next CryEngine anyway - jitted CLR code is plenty fast, as is the GC. Of course you have to look for different performance gotchas in such an environment, but from my experience with an (admittedly quite simple) 2D space shooter style game it's hardly the language itself causing the problem. With modern CPUs it's not about raw instruction counts anyway, rather it's about getting the data where it needs to be in a timely manner. Cache misses forcing you to access the (in comparison) agonizingly slow RAM are a much bigger concern than not having minute control over the generated assembly; a bad algorithm is going to be slow, no matter whether it's generated through the CLR or by yourself.
So anyway, that's my two slightly off-topic cents on this matter
E: Btw, there's no reason not to have VS 2003 and 2010 installed side by side - you're not breaking anything by doing so.