Computer programming in general is harder than web programming IMO... However I think the fundamentals can be learned through web coding and moving your way around the different spectrums. I think VB is the way to go for most programs in windows and otherwise learn the web basics..
Application development is indeed a lot harder than web development or scripting. However, there are some fundamental skills you can learn from such things like writing loops and expressions in PHP, Shell, ruby, python, perl, and so forth that would carry over into application programming.
I think it is easier to learn those things so that is why I suggested maybe to start there. I am not a developer though so my opinion is based only on my personal experiences, not professional ones.
There are a few software developers that frequent these forums perhaps they can enlighten us.