First of all, how much programming experience do you have? What kind of game do you want to make? Games can vary from very simple ones like tic-tac-toe or connect four to more complicated games like chess, go, or Quake. In either case, you need to start by learning a programming language, if you haven't already. From there you can learn about graphics, sound, and all the other details that go into creating a game.
Sorry that I don't have anything more specific than this. Perhaps it will help if you explain what kind of background you have. That will give us a good idea of how to help you go from there.