USB Basics: Switching On and Off Small Acessories

Hello, long time programmer here. Recently I have given thought to using and switcing electronics on and off. I got the idea from a small USB desk light. I can wire everything up myself but first I need a basic idea on where to start with building a ''basic'' program for... lets say an LED light. What funtions would I need to know do I need to download a library. How do I send the signal to the led to turn it on and make it stay on. What voltage does a USB put out? How do I do this with multiple LEDs? Can I control them individually? I am using Windows Vista Home Premium and Dev-Cpp (Latest Version) If anyone could post some basic guidelines, facts, codes, book titles, or links to get me started that would be awesome.
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