First of all, do you know C++?
If not, start learning.
Second, You need to choose a API (Application Programming Interface) for the Voxel Engine.
You can use DirectX which is the main API for Direct3D, DirectPlay and DirectSound.
Continue by learning the API and when you learned it, you will know the way to make the Voxel Engine.
P.S You can also use google to get more information about DirectX other stuff
