Ok, since I really think SFML is a good beginning for you I will show you how to set it up.
First you'd download SFML 1.6 here .
Then you extract it.
Take the SFML-1.6 folder and put it in you root directory (e.g. "C:\SFML-1.6")
Now you create a new project.
Tell your project the SFML directory by setting up include to C:\SFML-1.6\include and for the libraries C:\SFML-1.6\lib .
Now you have to link to those libraries if you want to use SFML.
You just set up the linking for the following :-lsfml-system
-lsfml-window
-lsfml-graphics
If you want to use music and network you can add -lsfml-audio and -lsfml-network
This step is important in order to use this functions.
Bad linking will lead to linking errors like :undefined reference to symbol 'sf::Clock::Clock()'
Now you could try and compile the example codes available on sfml-dev.org : D
I wouldn't recommend going to OpenGL or DirectX directly, because there are many things to set up, before you can actually start coding.
The best choice imo would be XNA or SFML, where I think XNA would be easier for you.
Best regards