Writing a Windows application with just the windows API is possible, but you'll end up writing huge amounts of boilerplate code just to create simple things. This is why people normally use libraries built on top of it to make things easier - MFC for example.
The MSDN article Creating Win32 Applications provides a good explanation of the ins-and-outs of a Windows application using the Win32 API. Bare in mind though that you could build the same application in minutes using MFC.
I agree that MSDN is not the most user friendly source of information for a beginner. In my opinion it works much better as a reference.
My advice would be to focus on building some test applications using MFC (assuming you are tied to C++ as a language). Try looking at the codeproject MFC sections for example, and perhaps even buy a book to help get you started. This does of course require Visual Studio, but you can download the free express edition here