Now I have begun to look at some NeHe tutorials and noticed that they all have windows programming as well. Besides all of that I am understanding the OpenGL pretty good. Should I continue on and continue the windows programming before I continue further? What is the best way to learn OpenGL?
I guess it all depends on what you want to do, if you are going to make Windows applications you might as well go on and learn win32 at the same time, but if you plan to stay platform independent then you could have a look at one of the libraries that works on more then one platform (glut, glfw, sdl and so on).
Check out the faq and documentation on this website about other alternatives.