There are many different ways to make games. Most of them involve the use of a programming language like C++ or C#, and, unless you are good enough to write an entire game with your own functions, the use of an SDK(software development kit) like DirectX or XNA.
IF you want to learn XNA (I cant help you decide if you do or don't want to, since I don't use XNA - stupid crappy 5 year old video card), go to the XNA getting started page (
http://creators.xna.com/Education/newtoxna.aspx) and do everything it tells you do to. That should get you started.
What I did:
First I learned C++. If you have no coding experience I would reccomend starting with writing simple C++ console applications. It may try your patience, but I think it will help. I learned C++ from
C++ for Dummies, by Stephen R. Davis. I find that boks are better for learning these types of things, but if you want a free, online tutorial, your can try
cplusplus.com.
Then, I learned how to use the DirectX SDK. For that, I had another book -
Beginning Game Programming, by Jonathan S. Harbour. It was a good book, not a GREAT book, but good. You can also try searching the web for DirectX tutorials.
Hope this helps!
Viri qui habent nullum, timent nullum.
Men who have nothing, fear nothing.