If you've never really studied programming before, I'd advise you to start with Java. It's far more accessible and polished than C/C++ (and to a degree, C# as well), has good multi-platform support, and does its best to "protect" you from memory leaks, mucking with machine details, etc.
In addition, you'll want to start small and move up. Create a small game first that implements basic physics, or one that has a rudimentary AI, or one that tests out collision detection. Then, from what you learn, craft a basic game engine. Etc, etc, etc.