Programming Windows, 5th Edition by Charles Petzold
Nice book if you want to start learning about Windows GUI programming and the underlying API. However it is more geared towards C not C++ (but so is the Windows API).
If you want to use C++ you may wish to look into a book on either MFC or C++ .NET.
There are also free GUI toolkits such as wxWindows/wxWidgets, or commercially, Qt, which isn't free on Windows (only free for linux/XWindows).