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I would use Microsoft Visual C++. It's useful for keeping track of its stuff and I heard it has a powerful debugger (although I never figured out how to use it)
I would suggest buying the following books
"Tricks of the Windows Game Programming Gurus Second Edition"
by Andre LaMothe <== teaches you DirectX game programming
"Programming Windows Fifth Edition" by Charles Petzold.
I am currently learning to program in DirectX. Never done OpenGL. DirectX is pretty easy to set up.
-Pizzaman
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