I started off with a book called something like Tricks of the Game Programming Gurus. Here is a link to the newer version (I think):
I can't post urls yet, but I'll try this.
amazon
Tricks-Windows-Game-Programming-Gurus/dp/0672313618
Read the description to make sure it interests you. Also, if you are going to learn game programming with DirectX, I would suggest making sure you are learning the latest DirectX. I believe the latest book right now is on DirectX 9.
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