Wow - that's a tall order. There are many computer languages that you can use to create computer programs. Different people will suggest different languages based on what they like and how easy it is to learn. I'll cover a few basics to paint an overview for you that may hopefully get you started.
Computers generally don't directly "understand" the computer language that people program in (C++, C#, Java, Python, Basic, etc.), they understand machine code, which is difficult (but possible) for humans to program in, so generally you need what is called a compiler that can "translate" the human friendly language (C++, etc.) into machine code. Some of the newer languages like C# compile to an intermediate language that can then be compiled to machine code later. The intermediate code is hardware independent so this is done for portability reasons. Sorry, I don't think I'm being very noobie friendly so far - stay with me.
So, you need to figure out which language you want to learn (C++, C#, Basic, Java, etc.) and then find some tutorials online about that language. There are a lot of tutorials out there for free, just Google around. You will then need to get a compiler for that language. Many are commercially available and there are also many free ones out there. Again, Google can be helpful here.
Now, above and beyond the language you use, there are design concepts that are important to learn if you want to be more than just a quick and dirty hacker. Anyone can hack out code and get something that generally works, but it takes years of experience (and many times schooling) to become a really good programmer that can fully utilize object oriented design concepts (for example) and good software configuration management practices, but you can Google those terms later on and learn more about them. There are also some good ideas like unit tests and refactoring that can be very useful to help you make good code that is easy to maintain and extend or add features to. Again, these things take years of experience to nail down. I've been programming for almost 30 years now and I've just been getting into the higher levels of these design concepts and software configuration management in the past 5 or 10 years or so. Of course, you really don't need to worry too much about these advanced topics when you're starting out, I'm just trying to help you understand that if you're going to make something big, you'll benefit greatly from these advanced concepts. But you're not going to get them by googling around for a few weeks. You either need to go to school or work as a programmer for years.
I've worked on bad code and good code and there's a world of difference. It's really like comparing a baby who's just learning how to say "wa wa" to get some water to a shakespeare play. They both use English, but one is structured elegantly and it takes years to go from "wa wa" to Shakespeare. If you really want to go this route, go for it. Putting together a windows application that "works with an online website" is not going to happen in an afternoon or even in a few weeks or months. It's going to take some time and patience. You also might be able to find such a program already made that you can tweak for your needs.
Sorry if I didn't post a very helpful post here - I'm trying to cram 30 years into 5 paragraphs. It's harder than I thought. Anyway, go look for some beginning programming tutorials and jump in. All computer languages have similar concepts, just like human languages, since they're all trying to solve similar problems.
Someone else might have a better suggestion on which language to start out with based on ease of learning the language and based on availability of compilers and tools for free.
Here's a good general starting point for you that I found by googling:
http://cplus.about.com/od/introductiontoprogramming/Never_Programmed_Before_Start_Here.htm
