Javascript is a good language too for even windows applications. I saw a video by the senior programming guy at Yahoo!, I cannot for the life of me remember his name, stating that Javascript is used in Adobe Photoshop. Javascript is integrated with all web browsers so portability is very good. I would also using a full compiled language like C#. I use it exclusively for work and personal and enjoy it very much. The only thing is it will only compile for use on a Windows machine. Java and C++ are compiled languages that can be compiled for multi platform use such as Windows, Linux, and even Mac.
C# is available free from Microsoft. The IDE is called Visual Studio 2005 Express. They also have Visual Basic, J# which is Microsoft's offering of Java again only compiled to Windows though, and Visual C++ which is also only compiled to Windows in this variation.
Hope this helps some!