Read
Professional MFC with vc++ by Mike Blaszczak, This one has detailed explanation on how MFC internally works. It is not very well-written book, But is full of internals.
Understanding how Win32 APIs works is also very important if you want to really understand how MFC works, As we know MFC is just c++ wrapper over it. Except some data-structure classes like CArray, CMap, etc.
Nice book I know about win32 APIs is Programming widows, by Charles Petzold
Finally MFC comes with code, Read it to understand each and every bit of it.
Regards,
Sunny