Wrox have good books for many programming language.
You also have the Books Bjarne wrote himself
Honestly, pick up as many programming books as you can in the language you pick and make sure their publication date are recent. You don't want to learn old obsolete stuff.
Also spend the time to do a lot of research. You have to make up for the lack of teacher and the things they don't talk about in books. Which means, read up about everything you can on site like Wikipedia, Code Project, Stack Overflow, Dream in Code, etc.
Also learn complex math and physics. Its not a necessity, however it will broaden the amount of things you will be able to program in the long run.
Also be patient, it wont take you just 2 weeks or 3 months or even a year. More like a few years. Most companies have no need of someone that can code a few basic loops. They can have their receptionist do that.
Once your no longer a beginner, start building a portfolio. Learning on your own works fine. I have a couple of my close friends that have gotten in that industry doing so. However you will need proof of your skills, to balance out the lack of a degree.