> What should the first language I learn be?

Any, because it doesn't matter.

> What program should I write it in?

Any, for the same reason.

> What's the best compiler for the language you are advising me to try?

Is it important for your compiler to be the best compiler? You're only introducing vague criterions for compilers, naturally showing your ignorance on the matter, thus your question will remain unanswered until you've got a clear view of the concepts you handle (and I might add, quite bluntly), in your questions.

> Should I do my work on Linux or Windows?

Doesn't matter.

> Best book, or site that will teach me the language?

Books don't teach, teachers do and the only one available to you is yourself.

> Any other thoughts?

Just one: sage.