They include the libraries to use directx when you use c++ for making games their made with openGL or directx.
When you install the directx SDK you can link to its libraries so can access all its 3d utilities. OpenGL can be a pain to install but i found this website with all its libraries:
http://www.swiftless.cdadc.com/tutor...gldrivers.html
It also depends what version of visual studio you use, with 2005 I don't think the Microsoft SDK will be needed but anything earlier then you might need to install it. Also note there's bloodshed dev which is a c++ compiler and free which is good but I don't use that so you`ll have to google around for how to include libraries and use openGL.
Although to start of slow, do some command line games text based they don't require directx or openGL. Once you understand the basics move onto the graphical stuff. I started making command line RPG`s you know the type "you enter a room and see 2 doors which will you go through" option1: left option2:right etc etc