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How should I get started making programs?

I’m looking for some information on getting started with creating my own programs. Probably some links to tutorials might be most helpful, since there is more to cover than any one person would want to post here.

But to clarify, I’m not talking about “learning to program.” I’ve already got a reasonable introduction to that with all of the scripts I’ve written, from using UnrealScript for UDK to writing C# scripts for Unity. I know how variables work and how to call functions and things of that sort.
But what I DON’T know is how to create my own self-contained program. Something that another user can download and run on their computer without having to download some other program to get it to work.

I understand generally that this requires having the code compiled, (and then linked, or something?) which can be done through a whole bunch of different programs. But that’s really not the end of the discussion here. I mean, every tutorial would run me through the same boring “Hello World” example, but most of the ones I’ve seen before have that output through a console that hasn’t been a part of a normal PC’s common output for twenty years. (I was looking at a C++ programming book printed for 2017 and they are STILL starting off with that “cout” code as if I was writing a DOS program. 2017. Console output. For Windows.) If I were creating a common windows application, I would need to know how to create windows and dialog boxes and drop-down menus. But again, every book I’ve picked up just spends its time explaining what variables are and how functions work, NOT how to set up Visual Studio and how to create a basic Windows UI.

Now on that note, I do have some version of Visual Studio installed on my computer already, so perhaps what I really need is a tutorial on how to use that. Everything else I’ve done that required me to use Visual Studio would baby me through setting it up, so I have no idea how to actually set up for making my own stuff. I’ve seen glimpses of what it can do when I’ve gotten in over my head before, so it would be really helpful if I could understand how and what that environment can do.

And the last thing I would like to mention is about where I would want to go next. I mention this because it can influence where people suggest one starts, even though I obviously won’t start there.
I mentioned earlier creating a program that uses a basic windows UI, but honestly, my interests are usually game related. I’d probably take more interest in learning how to make dots appear on a blank screen than how to create a stock windows dialogue box. I’d like to make modifications to old (now open source) games. I’d like to build some simple 2D games. I’d even like to build my own engine. (Not practical, I know, but I’d like to know how. I’d like to give up on that dream because I got bored, not because I don’t know where my code needs to go.)

So, where do I get started? Where can I learn how to make use of what I already know in a real-world application?

What type of applications are you talking about . Every program needs a dependency to run for sure . And Visual Studio is not hard to use . It is an IDE . You need to be more specific of what you want to create ? A mobile application a desktop application or a web based application . Lastly you mention you like to create games . Now I am totally confused for sure .

jump in at the deep end and try an open source game

complement that with a baby steps walkthough so you know the basics of whats what
https://msdn.microsoft.com/en-us/library/jj620919.aspx

have fun

also NEHE page is great for making your own, first 3d code: http://nehe.gamedev.net/
Great tutorials, translated to about every programming language possible.