All depends on a programming language.
If you use C++ or C# then install Visual Studio (it is desirable 2008, but 2005 also good) and SDK or lib, which you like to use.
For example VS 2008 and DirectX SDK.
I've learnt C++ through tutorials on Youtube of console. I've just finished the second tutorial of SDL, I've been learning programming since June this year!
I use Eclipse, with SDL libraries!
I would recommend using console tutorials first then move on to SDL like I have, I am by far no expert, but I can still remember being amazed after making my first Hello World! console program! And yesterday made Hello World! SDL program!