it's really depend on what games you wanted to program,
graphical games? text based, action/adventure etc.
most games are written in Cplus, I guess this is a good as place as any to start.
you can get books that will take you through how to create games engines and stuff.
one thing I suggest is try going the GPL graphics route rather than direct X,
you'll likely find that you'll have a much larger consumer base as then all linux/Mac people will also be able to play your game and not just people with windows.