OpenGL is language neutral, i.e., you can write your OpenGL programs in Windows, Java, Linux, Mac, etc. Under Windows, there are again many ways to write a OpenGL program. e.g., Win32 API directly, GLUT or FreeGLUT, SDL (Single DirectMedia Layer), Allegro, etc.
Nehe's lessons are explained in Win32 API, which is complex, cumbersome and hard and to understand. Nonetheless, the solutions are also ported to all the other platforms. I strongly suggest that you follow the
solution using GLUT (which greatly simplifies interaction to Windows).