The choice of programming language depends on what you want to do. Sometimes one language has advantages over another. I started out with Pascal and proceeded with Delphi. For GUI-apps I usually use Delphi as it combines rapid development and good performance, so that's what I write most of my mod-apps in. For most other things I use C++, but development time is longer. For mod-apping it's handy to know some ASM as well, but there's no need to write entire Windows applications in it. It, however, gives you total control at the cost of development time.
Programming is learnt through doing. A lot of people try to memorize what they read instead of thinking for themselves. That makes it very hard. You need a good book with exercises and do them all to increase your experience to a level where you can start do things yourself.