You can really use any language to write a proxy but I would recommend C# as you will get more help since it's the most used language in this sub forum. You will also want to learn asm in order to be able to reverse the game. I suggest you forget about making a proxy for now until you have a really solid foundation in programming. Good luck!
As for some resources if your more of a visual learner then check out these video tutorials.
C# Tutorials
ASM
If your more into books then just do a search on Amazon and read the reviews.