The way I did it was trying to make a game. I'd always set my sights on making some sort of game, and gradually improving aspects of the game as I got better with the language.
First, try to make a MUD, or text adventure game. It's hard, but try and use files to hold rooms, and items and things. It doesn't matter if you don't get it done, but you should try to at least get it so you can move around, and pick up items and stuff.
After that, try and a make a simple game like tetris or breakout, or space invaders, using Win32 GDI+, or SDL. Again, you don't need to complete it, just use it to get familiar with SDL/GDI+ (personally I recommend SDL here).
Once you're done with that, branch out into OpenGL. Use SDL as a base, and try to transform your space invaders game into space invaders 3D.
This should take you about a year to do, maybe more. You don't have to do anything on this list, if you want to skip a step, or go somewhere else will your skills, by all means do so. This just how I did things.
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