A good introduction to programming is probably Java. While it isn't the "best" language in the world, it is really easy to learn.
A book I would recommend is Objects First with Java by David J Barnes and Michael Kolling. ISBN: 0-13-124933-9.
When I got copy last year it was Second Edition. A new Java SDK has been released since then, ver1.5, so there may well be a Third Edition of the book.
Included in the book is a disc with an IDE [Integrated Development Environment] called BlueJ. All the examples and exercises in the book are based on BlueJ.
Assuming you can get through the book and have a good grasp of the language, I suggest moving on to a better IDE such as JCreator.
I myself have turned to C# which is a very similar language to Java. I use Visual Studio 2005 for programming C#.
In addition to text books find online tutorials and experiment. I find the best way of learning is to think of some small utility that might be handy to have on your PC then try and code it.
Assuming what you have chosen to do isn't really easy you will more than likely come across a situation where you don't know what to do, or don't what method out of ones you know to use. When you come across this just experiment and see what happens
Once you know the basic structure of Java you can use this knowledge in pretty much any other Object-Oriented language.
Good luck and have fun
SiriusB