DSP programming in C/C++
Octave is a multi-platform open source math and matrix toolkit. It has a command line interpreter aimed to be very similar to MATLAB, but there is also a C++ API available for use. Since you refer to signal processing in contrast to image processing, I assume you mean audio processing, so you might need to look into the "signal" and "audio" packages in octave (which provide e.g. wavread). Keep in mind however, that the API is primarily designed for internal use in the octave CLI, and that it is considered not stable (i.e. the bindings might change). Also, since the library is not primarily meant to be linked with, the documentation is poor to say the least.

Alternatively, there is also GNU Scientific Library, which is not primarily aimed at signal processing, but provides complex numbers, matrices, fft and so on. On Windows, you would have to compile that yourself using Cygwin.