Well Greg, you simply need a compiler ; i suggest C / C++ or Pascal as a programming language. There should be a free DJGPP-Compiler for C around here. i suppose you've read or are going to read some books about game programming ; "Windows game programming for dummies" seems to be recommended. (never read it, i'm still DOS); and, of course, all the articles for beginners in gamedev.
most important : the programming tutorials !

Remember : Never start coding before you ~exactly~ know what to code!

I am complete newbie to this game programming and I was just wondering what kinda program do I need to create a little game of my own... Does it cost money to get the program???