Normally, not, unless your WindowProc makes it so.
The Window class (e.g. CWnd in ;FC and CWindow in ATL) are distinct entities from the OS' concept of a window (I'll denote as HWND). They have different lifetimes, but they can be "coupled" together using the WNDPROC.
IIRC, MFC will delete CView-derived classes, but not most of the CWindow-derived. Also, ATL's CWindow, by itself won't be destroyed, as it is by default only a one-way attachment (i.e. attaching a CWindow to a HWND usually doesn't subclass the window).
Most of the time, calling the destructor is by another mechanism:
CDialog foo;
foo.DoModal();
When the dialog is closed, the scope where foo is declared will be exited and foos destructor will be called.
Similary, closing the main window will cause the application to exit, tearign down instances on that way.