Windows Forms are .Net specific, so you need to use C++/CLI (That's "managed C++") if you want to do those.
However, I'm not sure you really want windows forms? You just want some kind of windowy GUI, right? If that's the case you can go with something like MFC or just native O/S calls, to create your GUI, or you could use a wrapper API like Qt
[EDIT] Just to clarify a bit :)
I also heard something about managed C++. What is that?
C++/CLI is the .Net implementation of C++. Here you can use both regular C++ and managed code. C++/CLI was Microsofts attempt to ease the learning curve for C++ developers to get into the managed framework, however, it's not used a lot these days, wo you'll probably have a hard time finding (m)any good tutorials. Visual C++ is just the name of the IDE, it has nothing to do with which kind of C++ you use. You can use Visual C++ just as you use g++, but if you wan't anything over a console app, you'll need to wire some GUI logic into your application. As said in my original answer, this can be done a number of ways.
If you are sure you want to use .Net, I recommend spending a day with C#, as it's really easy to learn if you got C++ experience, but judging from your question I don't think this is what you want :)