http://www.cplusplus.com/ has great tutorials for C++.
You can start by getting a
compiler, a program that converts your code to an executable.
I think
http://msdn.microsoft.com/visualc/ is a good starting point. Visual C++ 2005 Express. While not optimized to the fullest, it's free and has an awesome GUI. There is also the Visual Studio 2003 C++ Toolkit, also free, which is fully optimized, but comes with a command-line only interface. Attached is practically the most basic form of a program in C++.
For anything Windows-related, the MSDN Library (
http://msdn.microsoft.com/) is an indispensable resource.