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Don't start with C#, or Java.
Stay away from object oriented languages to start. Begin with C, or Pascal or Basic. These things will teach you how to string your code together, how to optimize things. Then introduce multi-threading then OO languages.
If you know Java then C# should just be named 'Microsoft Java'..... However if you're going from very little/no experience then it can be quite a challenge. I bought a book written by (IIRC) Jon Sharp and a second fellow. They were on the development team for C#, and it is a very good book. About 700 pages and ~$110 but worth every penny.
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