Lua is trivial. Download the binaries, put them on your drive, and configure Sublime Text to invoke them on Lua files.
C/C++ is more complicated only because of the range of options is so vast. I use a 2003 version of Microsoft Visual C++, which covers my needs. I find a copy here.
Keep in mind that C++ is a vastly more complicated superset (non-strict) of C, so you're going to learn most of C in the process of learning C++. IMO, learning C first is better for a whole host of reasons. You'll hear some people argue the opposite, but in this case there's a clincher: Lua is written in C and its API is designed for C. Exposing idiomatic C++ (i.e. objects) to Lua is a big ball of complexity that you just don't need right now, while learning two languages.
