I highly recommend using an IDE like CodeBlocks, especially when you're starting out; it will actively mark your errors before you compile, and having everything integrated makes it easier to code/run/rinse/repeat. Linux and OS X are just "more convenient" because they come with C/C++ compilers built in, but as Delek said, you can also download Windows compilers.
yoyz2k wrote:C++ is the C language with ketchup and potatoes.
I think C++ is easier for a beginner.
C# is a Microsoft clone of Java, I have no experience at all but it's designed for and by Microsoft so you like or you hate.
SDL is free gpl stuff and IMHO it's really a great library to make game but also tracker interface.
yoyz2k and Vellain are right. C++ "contains" C plus more (hence the name), particularly classes and other goodies. I think C++ is easier to learn with (C can be a bit unwieldy at times), but for any low-level programming, especially trackers, C is the language to use. The good thing is that since so many languages were influenced by C, they're all pretty similar. Personally I think the best thing is to learn the techniques and algorithms that you need, then it's not too hard to pick up other languages.
I thought SDL was a library written in C++?
btw Ritchie is the man when it comes to C, good find