Try the musicdsp archive for some good sample code for audio effects.
The KvR developer forum is also an excellent place to get help on writing VSTs and effects in general.
As for Windows audio APIs, there are a lot of them. The most widely supported is known as WinMM. The latest and greatest is the new WASAPI interface introduced with Vista.
Finally, to accomplish a system-wide equaliser effect, you may need to look into lower level interfaces such as sAPO