If all you have been able to do is create a Window you should not even think about doing game programming yet. You need to first understand the concepts of Windows before you try going near game programming. I believe that even OpenGL even requires you to know some stuff about Windows before you do it.
I suggest first that you give some smaller programs a try, something as simple as a Guess the Number game that takes advantage of Window's and Child Windows (Controls) so you understand how the messaging system works in the Win32 API.
Also if you want to be able to make your OpenGL application do something you better know how to use things like PeekMessage. If any of these terms confuse you, you are probably not ready to tackle OpenGL and Win32 at the same time.
You shouldn't need to use the windows API with SDL, I don't think.
You don't really need openGL until you want 3D. But a 3D game is very difficult and time consuming for one person to tackle let alone a beginner. But you can use openGL with SDL.
SFML is really popular also so check that out. I've never used it so I can't really say much about it.
If your dream is to make 3D games, you would be best off using a game engine.
You might have fun checking out the Cry engine. Also you might want to check out blender, for fun.
It's completely silly to not use libraries!!! All programmers (especially noobs) need to stand on the shoulders of the coders that came before them. Don't pretend that your creativity is so amazing that you'll somehow be restricted by using the building blocks that are available freely. No offense but you ARE staring at a blank window and don't know what to do next so it sounds like you need some help here. Just because you use a module that blits shapes onto the screen doesn't mean it isn't YOUR game when it's done.
At least look at the underlying code in SDL and SFML and see if you want to try to do all that yourself. You'll never get around to making your game if you waste time re-inventing the wheel. Save your creativity for the game design itself. That's the important part that separates the popular games from all the boring ones.
This is what I do - I actually programmed a World of Warcraft clone in pure assembly. Also never bothered debugging it because I'm that good. Took me all of 2 days tops - did I mention I just started programming last week?
Trolling aside... not using libraries that are already available to do specifically what you need is ridiculous. Talk about reinventing the wheel.
I hope I don't sound insulting but chances are since you are asking these questions you are in no condition to write your own. The people that work on these libraries have been fine tuning them for years and consist of scores of very experienced programmers.
It would be akin to rewriting the std because cout doesn't perform every function you want it to ~_~
I've actually struggled a long time trying to find a good win32 tutorial (and directx), but I had finally found one, not to long ago either.
I went on pirate bay (I know shame on me, but the course talks about visual studio 6 and directx 9 so its not really new and great stuff) and found an old course from the GameInstitute that goes through and teaches the basics of c++, to a windows air hockey game, to fairly advanced directx 9 concepts.
If you want it, make sure you have utorrent or any other torrent program, and type in game institute at the pirate bay. It should be the first search entry to come up.