If you're looking to get your hands dirty with DSP stuff, I'd suggest starting with VST programming. Writing a plugin is a nice way to mess around with realtime audio manipulation without having to worry about connecting to system hardware, drivers, and so on. Basically, the sequencer takes care of all of that for you, and your plugin just receives a buffer with floating point data which you can manipulate directly.
This is, on the whole, a lot easier than trying to write a plugin to manipulate data going through the system audio streams. Also, the Windows audio API has changed significantly since Vista, and depending on which version of Windows you're using, you will have to follow different conventions to get your stuff working.
But again -- start simple. Get the VST SDK, check out some tutorials, and start with baby steps. :)
