To make plugins you need a C++ compiler and, preferably, an IDE. By far, the most package is Visual C++ (Standard, Professional, Enterprise, it doesn't matter).
Plugins can also be made in VB, or any other language. However, Patchou's header for C++ has not yet been ported to other languages atm.
Now, I assume you will use C++, since this is the only option available for now. So, go to:
http://www.msgplus.net/index.php?view=plugins
Download MPPlugins.zip and there you have a sample project for VC++ 6 (which can be also converted to VS.Net).
Of course, you need to have some knowledge of C++. And some Win32 API programming would help you a lot (I don't mean to brag, but knowing some Win32 API programming has helped me a LOT to understand the structure of a plugin).
Now, I won't go into detail about how to create a simple plugin *exactly*. You have a sample plugin in the zip from above, which should be pretty self-explanatory (lots of comments
).
If you have any further questions post them here.