some links
http://www.libsdl.org/ the SDL website includes links to tutorials on how to use.
www.opengl.org the openGL website includes some guides for use
http://gcc.gnu.org/ website for gcc (which includes g++ C++ compiler)
http://www.blender.org/ blender is a 3d modeling program that you could use to make character and terrain models
All these programs/libaries are free and run under linux and windows (although you will have to compile programs sepratly to get them to work on each system).
mmorpgs are complex programs requiring a good knowledge of both games development and networking maybe try a few smaler projects before tackling this one (maybe some that use skill directly portable to your mmo)
Any software project requires lots of planning. get a good idea of how things will work before jumping straight into such a large project