How do I set up an OpenGL programming environment?

As far as I know OpenGL is a graphics library. The IDE choice depends on the language you want use OpenGL in.

Anjuta is a perfect IDE for C and C++

sudo apt-get install anjuta

then you have to download OpenGL library:

sudo apt-get install freeglut3 freeglut3-dev libglew1.5 libglew1.5-dev libglu1-mesa libglu1-mesa-dev libgl1-mesa-glx libgl1-mesa-dev

after that you should include libraries (in folder gl/*) into your code

StackOverflow is a better place for programming related questions, check https://stackoverflow.com/questions/859501/learning-opengl-in-ubuntu