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Well do you even know how to program well in a programming language, preferrably C/C++? If not, you'd better learn to program before learning to program games.
If you already know how to program pretty well, then first I'd suggest finding a graphics library to work with, or if you're really good you may consider writing your own as some of the people here feel is worthwhile (and it is if you can't find a library that suits you). Then learn that library so you can do anything you want with it.
Then PLAN you game. Write down everything you want it to do. Also write down everything that it will require (save game files, how many layers in background, etc.). Then work out a storyline if you need it. Write the entire storyline down. Then write out what you will need the PROGRAM to do, as in what functions you need, how things will be implemented etc.
Then write the program.
Then supply all the art needed for the program, either get people to submit stuff, make your own, pay a professional artist, or rip it off of other games/the net.