Well, you have to make that decision yourself. There are a few things to base it on. First, before you choose a language think about what you intend to do with it. Are you exploring the programming thing as a prelude to a serious career or as a hobby? Maybe you've got an idea or two you'd just like to implement on your system. For hobby or curiosity use by someone without any training in algorithms or OOP design, I'd recommend starting with a simple scripting language (batch files in DOS / DOS mode or shell scripts in *nix) or a very simple console based language such as BASIC or Qbasic (No, not Visual Basic or VB
.Net yet!). This gives you a chance to learn some basic structures and terms that carry through any programming language and a lot of other things IT also. It also isn't as glamorous as creating a full blown Direct X capable game from scratch, but it isn't near the investment in time and sweat either. If you are trying on the career thing and have a bit more experience and a lot more time you want to invest, then consider JAVA or C/C++ as possible candidates for your language or a second language if you still need the first.
Searching on the web in general can help you find good freeware compilers, editors and tutorials to get you started. And forums can help you by answering a specific question to get you through a sticky part or by providing a good place to search for an answer that is already likely out there.
Hope this helps you get started. Good luck and enjoy the ride.