NET Game Programming with DirectX 9.0
DirectX 9 Graphics Programmers Guide
Introduction to 3D Game Engine Design Using DirectX 9 and C# (Net Developer)
OpenGL Game Programming - Assumes a windows environment and covers both OpenGL and DirectX. Takes you through most of the theory that you need.
If you are doing a lot of OpenGL programming, and you can afford it. It really helps (in fact its almost essential) to have these 2 books at hand. The programming guide (red cover) explains the theory and the reference manual (blue cover) has complete definitions for all the API calls.