It depends on what type of games you want to make and how much you know about programming.
The games on this website are made in a program called "Flash". But flash is geared more towards internet uses then it is stand-alone applications. Now that's not to say that you can't use Flash for stand alone apps, but that's just not it's main focus.
If you want to make Windows games then there are a number of options. I'd start by looking at diffrent Game Engines to see what engine is compatible with what language... after all, diffrent engines are better at diffrent things. So the engine you use for a FPS game may or may not be the same as the engine you would use for an RTS or RPG game.
I don't know many off the top of my head but some places to start for windows apps:
Ogre3d
IRRlicht
and what I use at home: XNA with C# express
There are also 3d programs and scripting apps out there like Blender that will will allow you make 3d models and games using python and then in-program game desiner. Although personally, I'm not a very big fan of Blenders game engine at all.
Keep in mind though, that the 4 listed above require some pretty extensive knowlege in programming. If you don't know very much at all, you might want to start with something smaller...