Breaking out of the command prompt?

Okay, so I've been programming for a while now. I understand functions, pointers, linked lists data types, structs, and I'm really starting to get a handle on object oriented programming. The problem I'm having is that no matter how much I seem to learn, whenever I try to learn a way to get out of the command prompt, I'm hit with a wave terminology and systems that just seem to make it impossible for me to figure this stuff out.

I tried to setup DevC++ with OpenGL, but it didn't work. I haven't tried Allegro, and that's where I'm going next if this doesn't work. Right now, I've gotten directX to run in Visual C++, but everything seems to assume that I have a lot of prerequisite knowledge of graphical programming. I've had eclipse installed since the dawn of time, but I've always just used if for basic utility programs.

I'm on windows, and I don't really care what environment I program in. Does anyone know a good place where I can learn the basics so that I can start to teach myself?
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Pick one of the Widget Toolkits.

http://en.wikipedia.org/wiki/List_of_widget_toolkits
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