If you want to create serious desktop programs (especially for Windows), I highly recommend that you use Visual Studio. Visual Studio is what is called an IDE, or in simple terms a application that you use to develop other applications with. With it you can write code in many popular Microsoft languages like c++ and C#.
This tutorial should help you pick the right version and get it installed.
It is very expensive if you get e.g. the Professional or Ultimate versions, but there's also an Express version that you can get for free (you do have to "register" within 30 days, but it's only with minor information like name and email address and then they give you a free product key).
Ever since Windows came out with Windows Phone 7, Windows 8, and their new metro style, they've been trying to get people to develop metro programs. The problem with this is that they wouldn't be compatible with older versions of Windows - not even Windows 7! You can get the "Visual Studio 2012 Express for Windows Desktop" version, but even then that only supports Windows 7 and up...
So, my recommendation is that you use Visual Studio 2010. Depending on what languages you want to program with (i.e. just c++, just C#, or some combination), what you will want to download will change (Visual c++ 2010 Express, Visual C# 2010 Express, Visual Studio 2010 Express All-in-One, etc.). You can search for it on microsoft.com or you can use this link if it hasn't expired.
Now, as far as the installation goes, they'll usually give you a ".iso" file (usually what would come on a CD/DVD for installation). This is not a standard file that you can install with. You'll need a program to either burn the ".iso" to a CD/DVD or a program to "virtually mount" the ".iso" file as a drive on your computer. Basically this will simulate using a CD/DVD without the need for physically using one.
Slysoft's Virtual Clone Drive works excellently for this, and it's free. Download that and install it, and then mount the ".iso" file for Visual Studio. Then you should be able to access it from "My Computer" as if it were a CD/DVD and install it.
Once installed, you should be able to open other projects and create your own (File -> New, etc.). One quick caution, however: some projects made in e.g. the Professional version of VS may not open in the Express version. Oh well. :/
Now you should have Visual Studio 2010 Express installed!