Read Alf Steinbach's tutorial. It walks you through getting and setting up a C++ environment as well as providing a fun introduction to c++ programming.
http://home.no.net/dubjai/win32cpptut/html/
I highly recommend buying "Accelerated C++" by Koenig and Moo. It's an awesome book, fun problems and an introduction to STL make this a great learning experience.
Other than that, yea, find a fun project you want to work on and get started.