I recommend you go with XNA if your learning c#,start following these tutorials here:http://rbwhitaker.wikidot.com/xna-tutorials and also buy this book: http://www.amazon.com/gp/aw/d/1449394620?pc_redir=1408118100&robot_redir=1 after that I would start learning unity by following their tutorials: http://unity3d.com/learn/tutorials/modules

Good luck!

Isn't XNA dead? Should I really start with it?

I recommend you go with XNA if your learning c#,start following these tutorials here:http://rbwhitaker.wikidot.com/xna-tutorials and also buy this book: http://www.amazon.com/gp/aw/d/1449394620?pc_redir=1408118100&robot_redir=1 after that I would start learning unity by following their tutorials: http://unity3d.com/learn/tutorials/modules

Good luck!

Isn't XNA dead? Should I really start with it?

Yeah, XNA is dead. It continues on as Monogame, although your best bet is probably just to go straight into Unity and C#.

Ok! So, Gimp is the free-but-good version of PS and Blender of Maya, right?

A Game Engine will make sure you will be sooner really developing your game as opposed to writing low level systems for basic rendering tasks or audio. Writing stuff from scratch makes sure you can control everything, and for a beginner, you learn the basics inside out (as opposed to just hear rumours about this topics when you use the engine )

Ok... so, to do things very quickly I should go for the already built game engine.

If I want to try to make my own engine, what would you suggest me to do? Any tutorial or book? (C#)

Right on Gimp and on Blender, yes.

Beware that Gimp is not PS, so while a lot of the functions of PS will be replicated in Gimp, they will be found at different places, called differently and might even work differently. So using a PS Tutorial for Gimp will not always work.

Also be aware that the Interface of Blender is very weird, you will need a very good short reference to get started because you will forget the Keyboard shortcuts for important actions easely (and no, not all of the shortcuts can be found in menus...). Also note that the shortcuts change in one of the more recent versions so old tutorials might be out of date when it comes to shortcuts.

If you want to dive in instantly in developing your game without writing a basic 3D Renderer and stuff like that... yes, an engine is your best bet.

If you want to create your own engine, this is a good book for a start: http://www.amazon.com/Game-Engine-Architecture-Jason-Gregory/dp/1568814135/ref=sr_1_2?ie=UTF8&qid=1408452503&sr=8-2&keywords=game+engine+design

I have that book myself and it explains the basic parts of a modern engine pretty well.

To code your engine.... well, to be honest, any language will do I guess. Some might be better suited than others, but this will bog down into a "religious" debate about the pros and cons of different languages pretty fast.

I think there are enough topics on that already, you will quickly find them with a search on this forum.