You just need a few dlls, some libs, and some header files from www.opengl.org. You should download glut as well as most source code on the 'net uses glut (glut takes care of the window management to make programs easily ported). I believe the website has links to the redbook and the bluebook, which are the official learning guide and reference books, respectively.
If you're using VC, all recent versions come with OpenGL. There is also some preliminary (not very useful from what I can tell) documentation included with that product as well. To really learn it though I'd suggest browsing around opengl.org and buying a good book about it.