What should I learn to program next?

Okay, so I now know basic programming like datatypes, statements, loops, etc.... a lot of stuff for console applications. But now I am wondering what to do next. I have been practicing for a while. I was considering developing windows or games. With windows, I only know message boxes, and I have looked into it some more, and it just seems to difficult for me right now (what with SCHOOL and all...). So I was gonna make games, but I was thinking games like first person shooters and stuff. NOT the console stuff like guessing games (already can make that), cursor mazes, etc.. So, where would I start for developing big games like fps. Should I get DirectX SDK? Or is there something else? (I've heard of unity btw).

So, here's my question: Should I develop Windows, games, or iPhone apps (with dragonfire sdk)? And which one is best for a beginner?
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