If you have access to MS Visual Studio, download some beginner's project (look into CodeGuru articles page) and step through the code. This will give you a good idea of how those projects are laid out (just so that you can get over this huge project notion) and try to change values to see their effects.

I'd strongly recommend to start with a console app & then move onto Win32 or MFC app.

Regards,
Usman.