Mebi on 27 February 2008
I think you should start with Java. It comes bundled with a lot of useful libraries like threading and GUI. The syntax for object oriented programming(OOP) is a lot clearer than in C++. It's important to understand OOP. Java also does the memory management for you. It's more important to be able to structure your code than doing your own memory managment. Another thing is that Java binaries is also platform independent.
If you really like Microsoft and plan on staying on Windows then maybe C# is a good choice. It's a lot more integrated into Windows and Microsofts .Net-platform seems to work well, but I can't say much about this since my knowledge about Windows and C# is a bit limited.
