Well whatever you're thinking of using...

http://www.gamedev.net/ - Lots of stuff
http://nehe.gamedev.net/ - Just OpenGL

Bear in mind though that DirectX is a full slate of sound, graphics, input, etc, while OpenGL is merely graphical (to my knowledge, however it may have limited other functions). You may find you're using DirectInput and Audio for the sound and input, so you may want to develop for DirectX from the beginning.