First of all, ask yourself if you got enough time and patience for this! Learning how to code is, even in the days of visual development, not comparable to an average hobby like stamp collectiong when it comes to the question: How much effort will I have to put in?
Be prepared to face frustration. Prepare for moments where you are totally sure "I can never solve this problem". And don't expect to get cool results within a couple of days.
If you should decide that you are prepared for this, just get your bottom to the next bookstore (better one specialized in IT-topics!) and buy a copy of either Microsoft Visual C++ or Borland Delphi as well as a book about the choosen language. I'd rather not recommend Visual Basic as it will limit you as soon as you got more experienced.
Read the book, and learn the basics of the language of year choice. Don't hurry with this, 3 months should be ok so you can get familiar with the language syntax as well as with the basics of object-orientated programming.
Now start you're first project. No, don't even try to write a 3D shooter now! Whilst teaching friends, I found that a more sophisticated notepad and a calculator are good first projects, as these will face you with plain programming issues as well as with user interface problems.
When you got through your first project and are satisfied, do whatever you want! This is (about 6-12 months after starting) a very critical point as you must estimate what projects you are up to. If you overestimate yourself, you'll get frustated, if you underestimate yourself, you'll get bored. Also, be aware of the fact that huge projects can take a lot of time even for experienced programmers. As you're a hobbyist, you don't have a team of developers and testers at your fingertips, and so time is crucial. For example, there is one project on my harddisk I have been working on for 2 years now, and it's far away from being finished!
Finally, you should consider learning a second or even third language after you got the basics. This will teach you more about how a computer actually works.
Good Luck! ;-)
