wouldn't be bad to make this a sticky thread, so others may be able to use it without me repeating myself. This is a very common question here.[/edit]
if you don't have a compiler (to make .exe) go to http://www.bloodshed.../dev/index.html
download version 4, version 5 is a buggy beta. if you do dl ver.5, then update .exe using cvs at sourceforge.
As for books go, the best one is "The c++ programming language" by Bjarne Stroustup (the inventer of c++) is the best. Itis one of those books that from a beginner to Linus Torvalds (linux guy) and developpers use.
edit: the sites below all helped me in some way or another. First you should learn c programming, then move on to c++ and win32api and other api's.
This site covers a lot! I learned a lot of Object Oriented Programming from here.
This is a handy site for beginners. This has examples and instructions for many standard library functions.
This is handy resource. Most of functions show prototypes and explenations for all of STL.
This has an easy to use complete game programming library. It's well evolved and used. It supports directx hardware accel through its functions.
This is for those of you interrested in developping open source, giving feedback, bug reporting, latest builds, and complete code of some of your favorite apps... and much much more.
This has a list of many tutorials and other resources.
A developer's ultimate resource.
The best site for learning windows programming. The guy set out to make it easy and quick. I think he certainly achieved his goal.
another c tutorial
The inventors home page.