You have to make up your mind: do you want to make a game from 0 or do you want to use a program to make your game. (You can't do both at the same time).
That said, on Windows you can't get much closer to 0 than with DirectX or OpenGL (atleast not if you want hardware accelerated 3D) and your favourite programming language (Doesn't really matter which language you choose). (on Mac and Linux you only got OpenGL for hardware accelerated 3D)
1) Pick a language (C++, Java, C, C#, Python, Visual Basic.Net, Boo, or whatever you feel like, it doesn't really matter).
2) Download a IDE and compiler/vm for that language
* Visual Studio Express is a good option for C++, C, C# and VB.Net and is available for free from microsoft.com
* eclipse and the Oracle JDK are good options for Java and can be downloaded from eclipse.org and oracle.com
* Python can be downloaded from www.python.org , any decent text editor will work for writing the code.
* Google can help you find compilers and IDEs for other languages.
3) Start learning, don't expect to be able to make graphical, let alone multiplayer 3D games immediatly.
If you want to actually make a 3D multiplayer game and the whole "from 0" thing is less relevant you should take a look at UDK or Unity3D instead.