Please help me understand if and how I can program a microcontroller myself and be able to use it in an electronic digital circuit to perform some simple tasks for example switching.

I started with the Atmel STK500 starterkit and a ATMega32 uController.
It's not that expensive, and you get a few tools (software) with it. Also: it has build in rs232 and some buttons and leds and stuff. Very handy when learning the basics in microcontrollers.

I know that some people will say: "the Atmega32 is outdated ", but I still believe that it's a very newbie-friendly uController. If you understand the basics, you can easily switch to another controller.

Thanx niek_e. I' ve been reading some stuff about the STK500 and ATMega32. They seem to require a specific programming language (also an IDE ie AVR Studio). However it seems this IDE is not compartible with Widows VISTA. Is n't there any other way for instance using C++?

C++? No. C? Yes.
I haven't worked with Vista yet (yes I know...), but you could use Visual Studio or something you like and just use the compiler from Atmel

Atmel is a good starting point, they developed the AVR Butterfly (basically a simple development tool for about $20 dollars). There are two good C/C++ compilers one from IAR at about $500, but also a free open source GNU compiler.

both compilers are well supported by a users forum, supported by ATMEL. Very helpful to both the beginner and advanced user.

Well worth a visit.

Also Microchip is a good start for beginners, with a wealth of literature available from basic circuit and program design to advanced topics in robotics, and control.