The best place to start is the web.
Check out GameDev.net for lots of articles. Also do a google search for game programming, you'll find a lot of info doing that.
I'd also suggest checking out your local book store. They'll have game programming books, but also general C++ ones. Effective C++, More Effective C++, Effective STL all by Scot Meyers are good for C++ programmers.
Start with something small, write a space invaders clone or something like that, then write a card game or the like. Work your way up.