Well, (if you don't already know one) the first step is probably learning a graphics API like SDL (C/C++), Pygame which is basically the Python binding of SDL (Python), or XNA (C#/.NET).
Probably the most important point is start simple. Don't try making a huge 3D MMORPG, like a lot of beginners do.
Here's a nice list of small, simple games to start with. The general idea is to get a feel of how to develop games specifically, rather than programming generally.
Here's a good list of resources which are worth checking on.
After that, work your way up from 2D to 3D. You'll need to learn OpenGL or DirectX, or one of the many engines and wrappers for different languages.
After that, run wild. As long as you know what you're doing, and it doesn't feel like you're diving in the deep end, you should be fine.
Good luck! :)
PS: 'Make Games Not Engines'. this ScientificNinja article is probably one of the most important things to read. (I frequent GD.Net) The amount of people I see, very often hardly being able to program, talking about having to make 'a general engine to do everything' is huge. They rarely get anywhere.
EDIT: Another thing I forgot to mention, though is probably one of the most important things: Take your game through to the end, that is finish it. I for one have many half done game projects lying about, and as such you sort of forget about it and have little to say 'I achieved this' to other people and to motivate yourself.