You can't build native windows/mac apps in Flash. What you CAN do is use AIR (Adobe Integrated Runtime) to build AIR applications which run on your desktop. These aren't quite native - they require the AIR Runtime in order to work, a bit like Java programs require a JRE.
Adobe has done a pretty good job, however, making the runtime download and installation fairly seamless. When you install your first AIR app it'll install the runtime if you don't have it.
After that, you have complete control over the look/feel of your app. If you want it to look like a native Windows app that's more or less up to you - if your design chops are up to the task you can simulate it pretty well. Most people, however, don't try - one reason being that AIR apps work on both mac and windows, though you could in theory tell it to emulate its host OS.
If you want an example of AIR apps, check out TweetDeck - it's probably the most widely used. Other than that, run a google search for the Adobe AIR Marketplace.
I hope that helped!