Most of interactions between your program and windows are done in libraries which MS has provided by the means of MFC or .NET to let the programmers only concentrate on the logic of their programs. According what you commented it is better to learn something about WPF. And beside it for getting familiar with windows working mechanism try to just study some basic old examples of simple windows programs. For example codes on this page are very basic and shows the basics of windows working mechanism : http://msdn.microsoft.com/en-us/library/bb384843.aspx
Also this is a good tutorial :
http://winprog.org/tutorial/files/forgers-win32-tutorial-pdf.zip[
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Hope it helps.