We are going to really need more information.. For example what languages are you interested in.. and experience you have.
One way to start is to start scanning these groups as this question has been ask hundreds of times in different ways, you might also want to look at the XNA Game Studio Express group on this site.
for general Information you could look at www.gamedev.net, for managed directx (.Net) there is always www.thezbuffer.com or www.mdxinfo.com.
There is also this following thread http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=77027&SiteID=1, One of the sticky posts in this group..
Another good list of resources is available in the GameDev.net DirectX FAQ:
http://www.gamedev.net/community/forums/showfaq.asp?forum_id=10