If you want to do Direct X, say hello to Win32 and COM as your new best buddies. You'll be spending lots of time early on learning ins and outs of the win32 API. DirectX with Win32 provides you all the features needed for sound, game input, and graphics display. You'll also be writing in C or C++, and you'll get to learn all about memory management and the C mindset - not something you should consider giving up lightly. Learning and using C as a language for a major project can be very illuminating, and make you thankful for modern programming language features and design elements. You aren't actually forced to use C or C++ for development here; there are various .NET wrappers and other language wrappers for Direct X, but if you've got .NET experience, you might as well use the framework made for .NET: XNA.
XNA is a much newer, .NET based set of tools. It provides many of the same features that straight use of Win32 and DirectX does (sound, input, etc) but natively on a managed platform. For most games (especially one when just starting out) you can get great framerates with an XNA game (even though a native app can give you more), and is very good for learning the ins and outs of game development -- you can't really go wrong. Most of the fundamental data structures you'll need (quad/oct trees, Model-view-controller architecture, handling of events, structure of your program) you will still need to learn and implement yourself, and doing it in .NET will most certainly be easier than in C and C++. As a nice side bonus, if you have an Xbox 360, XNA community games can, with some work, be released through Xbox Live marketplace. Basically, as a .NET developer, you would probably feel most comfortable here.
OpenGL is a cross-platoform library for drawing polygons. It has a different framework and API from Direct X, and does not provide any any OS interaction tools. There's packages that let you program in OGL in many different languages. However, as others have said, this will probably be just as much work as writing with Win32 and DirectX. For other features besides graphics (keyboard, mouse, joystick, audio) you could consider using a framework like SDL some of the missing DirectX features. There's a pretty decent community surrounding the library that can give you pointers and tips if you go this route.
More thoughts on this can be found in an almost identical article, here: Suggested Gaming Platform to Learn direct-x, C Open GL, or XNA.