The actual OpenGL implementation responsible for real time 2D/3D CG is provided by graphic drivers. The OpenGL provided by Microsoft is slow and old (even in Windows 7 it offers OpenGL 1.x, while the recent version is 4.x) - unusable even for hobby work

If you are interested in GPU programming, the second thing you should do is to install latest drivers from your graphic card vendor -
NVIDIA/
AMD/Intel. (The first thing is to get José's headers of course

)
Petr