General Game development
Just start basic. Follow the Jump'n'Run tutorial (or any of the others). Copy their code. Change bits. Break it.. fix it. Write it over and over until you know what is happening where and why. Get a pandora or GP2X and cross-compile it for those platforms. Run your little creations on other devices (Android phones and iPhones are great). Little milestones like this will keep you motivated to continue learning.
Making a game, or programming a whole project is a massive undertaking. Be prepared to fail the first few attempts... quit at least 5 times only to come back and give it another go... and even then you might have only programmed Mahjong. If, at the end of all this, you are still keen, you can step it up to 3D graphics and start working on "bigger projects".
Remember.. no one can learn to program in a day... and I wouldn't expect anyone who started programming tomorrow to be able to produce a Mario clone, let alone quake 4 in a month.
SDL on Pandora
SDL is NOT a game engine, but it will provide you with the foundations for putting stuff on the screen, getting keyboard and controller input and making sounds. All of these are basics in programming games.
You can locate a lot of SDL specific information at 
Getting started with SDL on the Pandora
(This portion assumes you already have a dev environment ready)
First, you need to grab the SDL libraries, you can either compile them yourself or grab some pre compiled libs. You can get the sources for SDL here and compile it yourself.
You can get the pre compiled libraries here (they are named libSDL... etc). These are ipk files so windows user might need 7zip in order to open them. You will need both the 'normal' lib and the -dev library. You might want to get the SDL_image, SDL_mixer and other SDL_* libraries, since these add to general functionality of SDL.
Basic Pandora specific SDL Information
See SDL Controls
These tutorials assume you know the basics of C++ programming, and know your way around a C++ compiler.
- Getting started with SDL on pandora
- Lazy Foo's Tutorials. Not Pandora specific, but a good guide to getting your programming environment set up, along with many SDL tutorials.
- Sol's Graphics for beginners. Not Pandora specific, but a good place to get started with SDL graphics coding.
- 2D Jump'n'Run Tutorial. (Page not loading since at least 03/03/2011. Still available on archive.org)
- The Game Programming Wiki's tutorials
OpenGL on the Pandora
- OpenGL ES 1.1 Tutorial