This is the best place to start your venture into the world of game programming.  In this tutorial you will learn the basics of Windows programming, as well as how to manipulate it to make it work well with your game.  Here is information that you can read once, type out, and forget.  Almost.

This tutorial covers the basics of 3D graphics programming.  No matter what genre of games you want to eventually build, this will teach the very fundamentals of rendering rich 3D scenes.  From lesson one it takes care to explain everything in detail, ensuring that you know enough to learn to build your own game engines, and build them well.