That said, software engineering is one of the fields you can get employment without a degree, provided you can 'show your work'. The hard part is building up your skills in a way that can easily be demonstrated. The common wisdom these days is to create a github profile, build some interesting things, commit to some open-source libraries, and use your profile as a resume of sorts.
Here's interesting article on being a well-rounded programmer: http://jasonrudolph.com/blog/2011/08/09/programming-achievem...
We're also in a 'golden age' of self-guided learning, with online tools to help learning galore, here are a few:
http://codecademy.com http://www.codeschool.com/ https://www.khanacademy.org/cs
Also, get a few decent books on "Programming 101". Common wisdom suggests you learn C, one of Ruby/Python, Java, and a functional language like Haskell. Here are some good books to learn from:
The C Programming Language (some people say you should start here, I'm one of them!): http://www.amazon.com/Programming-Language-2nd-Brian-Kernigh...
Learning Python: http://www.amazon.com/Learning-Python-Powerful-Object-Orient...
Learning Java: http://www.amazon.com/Learning-Java-Patrick-Niemeyer/dp/0596...
I hope you do choose programming as a career, its been very rewarding for me :)