There are lots of languages you can use. I suggest C++ because its awesome and its really easy to set up, and there are loads of tutorials everywhere to get you going. Here is the download link: http://www.microsoft.com/visualstudio/eng/downloads
Just scroll down until you have gotten to the area that says Visual C++ 2010 Express. Or you can use Code Blocks, just do a quick google search. There is a documentation here which teaches you the basics about C++. Here is the link:
http://www.cplusplus.com/doc/tutorial/ (or you could just navigate to it on the left).
Lastly you could choose a different programming language like Python or Ruby if you want, but C++ is one of the best!