Do I always need connection to Team Foundation Server or download some 3rd party tool in order to compare files or folders when I have Visual Studio 20XX installed?
No. There is indeed file and folder comparison utility bundled to Visual Studio, but it is well hidden.
You can find the WinDiff.exe from C:\Program Files (x86)\Microsoft SDKs\Windows\v7.0A\Bin\x64. Just make shortcut of it to Start menu, or add it to Tools menu in Visual Studio.