Zed's right start with a non-IDE solution such as using a basic editor..as it forces you to think and get at the object-oriented abstraction of the programming language you are attempting to learn.
As per the Windows vs Linux debate - I have found most physics labs use either various Linux distros (Red Hat is super popular) or OSX. I myself have a MacBook Pro running OSX and so I just downloaded and will be using TextWranger as an editor to complete the lessons.