OpenGL is a graphics API that can be used with multiple different programming languages.
Visual Basic is a programming language, where Blitz 3D is more like OpenGL and is a package of APIs and instruction calls that simplify the process of creating games.
Microsoft Visual Studio is an IDE (integrated development environment) that puts together everything you'd need to code, compile, link, and assemble executable files, though you'll need some sort of API (OpenGL, DirectX, XNA) in order to get worthwhile graphics out of the whole ordeal.
There's always Unity 3D (Mac only, exports to Mac and Windows) that's a game engine and a bunch of prefabs that allow you to make a game from it. Using it for a class this semester to make a video game, I'll see if I can get copies of it and post them around on here once it's finished.
