Where I work at Sony Creative Software, we use C++ directly with the Win32 API. It makes for much faster programs, especially when it comes to user interface elements. It's fine to work with once you're used to it, but there's a steep learning curve - mostly because it's written in such a way that it can be used in C (i.e. no classes, just a whole lot of global functions, structures and macros).
I would suggest you look into
MFC (Microsoft Foundation Classes). It's basically a Microsoft-written C++ wrapper for the Win32 API. If you're using Visual C++, there are wizards to get you started with MFC applications.
Otherwise, if you're interested in using the API directly, I have to recommend
this book; it's considered the "bible" of Windows programming.