Hey there,
You should get some good books on the subject, if you can... Try out these:
High Performance Windows Graphics Programming by Stan Trujillo
Isometric Game Programming with DirectX7.0 by Ernest Pazera
Windows Game Programming for Dummies by Andre LaMothe
Multiplayer Game Programming by Todd Barron
These are all VERY DirectX-centric, but include good introductions to DirectX. Make sure you know your C/C++... also, if you end up programming in Windows, you should get to know your Win32 Application Programming Interfaces (APIs)... try out these books too:
Programming Windows by Charles Petzold
MFC Black Book by Al Williams
Also, I've heard good things about the "Gems" series... Game Programming Gems is supposed to be great.
Don't forget Design Patterns by The Gang Of Four and Effective C++ and More Effective C++ by Scott Meyers... those last two books, when I was first starting out, blew me away!
That should get you started... ( ;