Well, first you need to pick the platform you want to create games for.
If you're interested in creating fully-fledged games for Windows and you're already familiar with C++, then downloading and installing the DirectX SDK and working through the samples is probably the first step.
If you'd prefer to start with something smaller, Flash games might be a good start. Or you could start with a mobile platform like iOS or Android. Either way, it may be a good idea to look for a ready-made "game engine" or framework that takes care of all the ugly setup details and allows you to focus on the game itself.