It depends a lot on what you want to do. If you want to do Windows API programming, I suggest the following from MSDN: Learn to Program for Windows in C++
http://msdn.microsoft.com/en-us/library/ff381399(v=VS.85).aspx
If that floats you boat, move on to
Programming Windows 5th Edition
Charles Petzold
http://www.amazon.co.uk/Programming-Windows-5th-Book-Package/dp/157231995X/ref=sr_1_1?s=books&ie=UTF8&qid=1296038702&sr=1-1
followed by
Windows via C/C++ 5th Edition
Jeffrey Richter
http://www.amazon.co.uk/Windows-via-PRO-Developer-Jeffrey-Richter/dp/0735624240/ref=pd_sim_b_1
Can you be more specific on what you would like to write? Grey Wolf gave some good answers but depending on how simple of a program you want this site has some great tutorials for basic C++ concepts: http://www.cplusplus.com/doc/tutorial/