What would be the next step in learning to program? Would I actually start making programs or what?

Well, you can be making "programs" at anytime since a program is just an executable code which could be as simple as 4 lines but if your talking about making video games or any program that is acctually cool and useable, youre gonna need to do more tutorials/classes/books. Also if videogames are your path and judging by the site your on it probably will be, youre gonna have to learn how to use a graphical language like opengl or directx

I would say start with a small project, like a text based game. After that, start learning win32 projects in c++ and then making GDI games and then OpenGL/DirectX games.

thats my opinion.

My advice (since I'm new to it as well) would be to start with a simple program like a calendar. Then improve it by adding features, and before you know it your program will be complex. As you go try and refine it and find better and faster methods to improve your code.

Not only does a polished program look better than 5 half-done ones, you'll probably be a lot happier with it.

This is all generally quite sound advice. You're only going to learn by doing, so pick a small, simple project - tic-tac-toe, hangman, whatever - sit down, and start writing code. When you get stuck, come back and ask questions.

Definitely start with small stuff first...If you want to try to make a game, make a text based battleship game. Graphical interfaces tend to cause too much confusion at the beginning and should only be used once a strong understanding of the basics is there. Everything comes in time.

Considering you are almost familiar in C++, I suggest that you read book, about game programming for beginner in C++. Considering the beginner, in that book, It shall leads you what you need to learn aside from knowing C++. And almost all books have sample programs that will be explain in details before/after the sample. As you said you finished your study in C++, Take that opportunity, try to understand the flow of sample program. Do that to every sample program for you to familiarize yourself and gain another point of view in C++. And if you don't understand something, try to google it or ask question in gamedev. Don't be afraid in encountering totally stranger terms, ideas, or etc... Try to understand them instead of just ignoring them. After reading the book, think a program that will suit to apply all the basic that you've learned. Note, Don't hide the C++ and Your Game Programming book instead keep them in touch to you whenever you are programming. make them as reference whenever you forgot something. After finishing you program, expecting your program to have a lot of bugs, Find a site introducing good practices in programming, to be precise in C++. After getting the idea in that topic, rewrite your program from scratch. In that way, you'll appreciate difference between to have good practices and no law programming practices.

Note: No pain, No gain.

Look at the list of chapters for a sample c++ book.
Create a program to demonstrate knowledge for each chapter (really push yourself to makesure you understand everything)
Then go back and put it all together with a small text adventure or something.
After that start gearing yourself to OOP there is a lot more than meets the eye when trying to stick to truely OOP practices. Once you feel you have a decent handle on OOP... remake your text adventure using OOP and look at how much less lines and how much more sense it makes to do things this way. Then learn the windows api ... (I hear tricks of the windows game programming gurus is good) Create a window learn how devices/resources/etc etc work. Then create your own OOP window wrapper ... by OOP meaning you could easily create a subclass of it to make it extensible. Now pick up SDL or OGL/DIRECTX if you are feeling breave. After all of that get a good book on refactoring to patterns/ component oriented design.
Hope this helps,
-durfy