If you are trying to write a VB6 application then the Win32 API allows you to do a lot of things that are not natively supported by VB6.
If you're writing a C# WinForms app then I would recommend learning the vast reaches of the .NET Framework first.
Edit
If you really want to know what's going on under the hood in Windows then you might want to check out a copy of Programming Windows 3.1 by Charles Petzold.
