1. Design your game. Plan out every detail. If its a FPS, type out the weapons, descriptions of the levels, info on the enemies and their AI, everything.

2. Make concept art. Draw pictures of the surroundings and the characters so your artist (whether its you or someone else) knows the kind of stuff youre looking for.

3. Have your artist make 3d models (or 2d pixel art) and levels for your game. Using a tool like 3ds max.

4. Either purchase a off the shelf engine (like torque), find a free one (like ogre or irrlich), or make youre own in VC++ (or other IDE). Finding an engine takes a day or two, making your own could take a year or two. All the Opengl and Directx work (like loading and displaying models) should be handled by the engine.

5. Code game specific code using your engine. Usualy your engine will be afew librarys to make things easier so you'll still be using VC++.

You dont have to do those steps exactly in that order. For instance you can complete the coding before you have all the art done, you'll just need place-holder art.

I Hope that helped.