I have programmed computers since 1982 as a hobby, so with that in mind, let me ask you a few questions:
1. To what operating system do you have access? MS Windows does *not* include a compiler or interperator. You'll have to buy one. A typical Linux distribution includes a plethora of compilers and interperators to include: Python, C/C++, TCL/Tk, Perl, Bash, Awk, assembly, and the list goes on.
2. How much can you spend? You can get Linux for as low as a few US dollars, but a respected compiler for MS Windows will cost you a couple hundred US dollars.
3. Are you looking at doing graphics programming? Windows is keyed and tooled for that. Under Linux you'll need to learn programming X11(not a trivial task, but then neither is programming MS Windows nor programming in and of itself).
Did it for many years, and started to attend a local university for a Computer Science degree, until I began to work with computers professionally. Then I got very put off and bored, so I chenged my pursuit.