I haven't a clue about C#, but microsoft's site will probably have some info. I think the only SDK's they have available are for C++ and VB, but I could be wrong. Check the link I mentioned in my previous post.
Now, Mr. Elusive, by the sounds of it you're a High School student? I'm just guessing, don't take any offence to that. Now, to rant for a bit...
Is game development rewarding and fun? Yes, I would say it is, but then again, I've loved programming since I was about 7, so I might be a little crazy. To me, it doesn't matter what I'm creating, I enjoy it, and it's very rewarding. Game development was something new that I tried only in the last couple months, and I must say out of all the things I've written, it was definately one of the more enjoyable. There definately is alot of background you need, as you seem to have found out. Don't let this discourage you. It doesn't take long to learn, really. If you are considering this as a possible career, or even a hobby, it's going to be worth your time (once again, my opinion is quite biased).
Having no idea how much programming experience you have, it's difficult to tell you where to start. You mentioned you've got some C++ experience... A fairly good understanding of the language is going to be a necessity, but you're only going to get that by programming and experimenting. As for Win32, it is the API for windows. API is application programmer's interface (or close to that) and is just the name given to a set of functions that allow you to control something, in this case, the Windows OS. There's alot of not so pleasant stuff to deal with when working with Win32, and it's going to take you a little time to figure out. It will definately allow you to create windows, and do just about anything else with Windows that you might like.
If you want to start with graphics, and you want to keep things simple, check out OpenGL. It is quite simple to understand, and you won't need to deal with Visual C++ and Win32. It will also allow you to get some C++ experience (well, mostly C actually, but whatever). Check
OpenGL.org for more information, and to download GLUT (OpenGL utility library, makes things alot easier in some cases). Then check around for some tutorials on opengl. When I get home tonight I will try to post a site with some interesting ones.
You mentioned you are working with Maya and characters. That is a good avenue to continue down as well. There are many parts of game design, and everyone will always need models for their 3D games. The Extras in the DirectX SDK offer a plugin for Maya to allow you to export what you've created to be used in your game. The importing code isn't too fun, but everything will come in time.
So, in short (after a huge reply)... Keep at it, I believe it will pay off. Get some books, reading and experimenting with the code is really the only way you're going to learn. You might not be able to create a game for school for this term, but it will be handy for the future.