Well, firstly you need to learn a programming language (C++, Delphi, Visual Basic, Basic,...), and get a compiler/other development tools for that language. If you don't know anything about programming, I would recommend learning C++ as there are so many free C++ development tools out there (Dev-C++ being the best, IMO), it's a fairly easy language to learn yet very feature-rich and capable of doing...a lot. It's also some of the most common programming languages used, so knowing C++ will give you an edge if you're considering programming ("Software Development") as a career, or want to participate in developing open source stuff.
If you want to get into programming and learn more/other languages, just drop by and post here/make a thread, whatever.