I mainly use C#, but you can also code in Java or C++.. Just depends on the project type you pick... Go to
http://dev.windows.com < that site has all the resources you will need to get your feet wet... You can set up a free developer account, which is great because you won't have to pay the 1 time dev fee until you have an app ready to publish.
Also on that site is a download link for a free version of Visual Studio, which is what I use for my apps.
Edit I updated the link to the newer link.. MS has kind of combined the windows and Windows phone developer centers.