First off, a general note: Gtk being mainly developed as a toolkit for Gnome, I think it is fair to say that the main focus is high quality on Linux while other platforms are somewhat second-class citizens. This is probably most visible by looking at the integration with the native look and feel of Windows and MacOS. If you are looking for a toolkit which behaves equally well on all major platforms, I'd recommend you reconsidered Qt.
As far as your more specific questions are concerned:
C/C++
Gtk is written in C, and consequently has a C API. If you are looking for a C++ API, look at the Gtkmm bindings. Note that you can also use the C API in a C++ application.
glibconfig.h
I don't know whether you tried compiling Gtk yourself, but the easiest way to get Gtk3 for windows is by downloading the precompiled all-in-one bundle from http://www.gtk.org/download/win32.php (which includes the glibconfig.h you are missing).
When and how to use Gtk and with what language
As pointed out above, the primary users oft Gtk are people who develop applications for the Gnome desktop environment. Most cross-platform applications nowadays however use Qt since the quality on Windows and MacOS is higher compared to Gtk on those platforms.
Concerning what langauge to use, a strength of Gtk is that there exists bindings for many languages (including C++ and Python), so you are certainly not confined to C.
When developing with C++, something that I personally like about Gtkmm is that it uses the standard library, as opposed to Qt which has it's own implementations for data structures etc (the reason being that Qt predates the times when the STL was generally available and usable on all main platforms).
How to use Gtk: contrary to Qt which has the excellent Qt Creator, Gtk is somewhat lacking a specifically designed IDE for easy development. The closes you'll get is using Glade for interface design and a text editor or IDE of your choice for the coding, but that choice will differ depending on the platform you are on. Clearly, as you probably noticed, integrating Gtk into the environment of choice usually requires some work (and also some more technical knowledge). So again, if you are looking for an easy to set-up and use environment for developing GUI applications, I'd just go with Qt and Qt Creator.
Cross-Platform apps
First off, Visual Basic is not cross-platform. But generally speaking, there are plenty of possibilities for doing cross-application development, using various languages.