Win32 programming is a big topic. I suggest you buy an appropriately big book to learn about it. Probably the best book there is on the topic is Programming Windows 95 (or 98, or 2000 by now) by Charles Petzold (Microsoft Press). I also recommend the CD-ROM Programmer's Bookshelf for Windows 95 also from Microsoft Press, which includes Petzold as well as four other Win32 programming books.
However, I will try to scratch the surface here, especially the relevant details of using GNU C and C++ plus the related tools to build Win32 programs.
Written by Colin Peters. This collection of pages is available as a single compressed file (in .zip format) which you can put in a directory on your hard drive and read at your leisure offline.
This tutorial was last updated on May 20, 2001.