Recommendation from someone who has many years experience with the C family of programming languages(including but not limited to C, C++, and C#):
Download Visual C++ 2005 Express(free version) and the Microsoft Platform SDK. The visual studio suite of IDEs are basically kind in the programming world(on windows, on mac it's xcode, and nix it varies). Buy a book on C++(I recommend Thinking in C++, very good book). You can learn through online tutorials, but a hard, professional copy is always better(I wish I had bought a book when I was new).. Any questions you have, I recommend asking them on the gamedev.net forums under the "For Beginners" section, or you can track me down, Deranged on GGC, FreeNode, and AfterNet.
Good luck.