I suppose the first question to ask is which sim are you building for? FS9, CFS2, FSX, etc...
For CFS2 you're pretty much limited to C/C++ gauges (which are actually just windows DLLs) and you'll need some C/C++ programming software. Microsoft has free versions of their Visual Studio products called Visual <insert language of choice here> Express (Visual C++ Express in this case).
That, along with the header and source file from the Panel and Gauges SDK will get you started.
For CFS2, you'll need to use the FS2000 format SDK package. FS2002, FS2004, FSX SDKs won't work for CFS2 since it predates those games.
For FS2002, FS9, or FSX you can still do the C/C++ style gauge format, but you've also got another option which most hobbyists are using since it requires less software. That is an XML-style gauge. All you need to brew up the code for these is Notepad or some other text editor program.
The FS2002, FS2004(FS9), or FSX Panels and Gauges SDK has info on this style of gauge too.
Another good tutorial/whitepaper is Dai Griffith's sd2gau29.zip (available for download at flightsim.com or avsim.com ).
This is a long-running collection of tips and tricks on how to put together your own gauges.
Another good whitepaper is Arne Bartels' xmlgau01.zip. I think this is still available at flightsim.com...it's been a long time since I've had to re-download it.