This is a rather broad question, as programming GUI applications in Windows can be done in so many ways.
There are two main parts to developing any GUI app: the language and the API/framework. Considering you're interested in learning to build Windows GUI apps, the language isn't really a point of focus for you. Hence, you should pick a language you already know and work with a framework or API that can be harnessed by your chosen language.
If you want to use C you're pretty much restricted to dealing with the Win32 API yourself, in which case reading Petzold or Richter would be great places to start. The Win32 API can be quite daunting, but it's well worth the effort to learn (imho). There are plenty of tutorials on Win32 on the web, and there's always MSDN, with a complete reference/guide to the Win32 API. Make sure you cover not just the API, but other areas such as resources/dialogs as they are building blocks for your Win32 application.
If you want to use C++ you have all of the options that you have when using C plus a few others. I'd recommend going with the Win32 API directly, and then moving on to a known framework such as MFC, Qt, wxWindows or GTK so that you can spend less time working with boilerplate code and instead focus on writing your application logic. The last 3 options I just listed have the added benefit of being cross-platform, so you don't have to worry too much about platform-specific issues. Given that you said you want to work with Windows, I'll assume you're keen to focus on that rather than cross-platform -- so go with MFC, but spend some time with the Win32 API first to get familiar with some of the concepts.
When dealing with MFC and the Win32 API, it's a good idea to try and get a solid understanding of the terminology prior to writing code. For example, you need to understand what the message pump is, and how it works. You need to know about concepts such as "owner-drawn controls", and subclassing. When you understand these things (and more), you'll find it easier to work with MFC because it uses similar terminology in its class interfaces (eg. you need to know what "translate messages" means before you can understand how and when to use PreTranslateMessage).
You could also use Managed C++ to write .NET GUI applications, but I've read in a few places that Managed C++ wasn't really intended to be used in this manner. Instead it should be used as a gateway between native/unmanaged code and managed code. If you're using .NET it's best to use a .NET language such as VB.NET or C# to build your GUIs.
So if you are going to use .NET, you currently have the choice of the WinForms library, or WPF. I personally feel that you'd be wasting time learning to build WinForms applications given that WPF is designed to replace it. Over time WPF will become more prevelant and Winforms will most likely die off. WPF has a much richer API set, and doesn't suffer from many of the limitations that Winforms does. If you do choose this route, however, you'll no doubt have to learn XAML, which is a markup language that drives WPF applications. This technology is coming of age, and there are many great places to learn about it. First, there are sites such as LearnWPF, and DrWPF which have some really great articles. Secondly, there are plenty of quality books on the topic.
So, to sum up, once you've picked your language and tech, the path is actually quite easy. Just pick up a book or two, read some blogs, get into some code samples.. and most importantly ... write code. Keep writing, keep making mistakes, and keep learning from them.
As a final note...
In other words, Silverlight. If you don't want to go the MS route you might give Adobe's Flash/Flex a look see. Both Silverlight and Flash/Flex build RIA's. Which I think is where we are headed. They days of Office like apps are numbered
I don't agree at all. Silverlight is not the same as WPF. Silverlight is web-specific, and only has a subset of WPF's features. Given that the question asks for Windows GUI apps, Flash/Flex Rich Internet Apps are not really a fitting suggestion. I also don't agree that the days of Rich Client Applications (such as office) are numbered at all.
I hope that helps. Good luck :)
