It it comes to Win32 programming exactly (I mean developing software which utilizes Win32API functions), there are two types of knowledge you need: firstly, API functions used to build GUI (forms, buttons, comboboxes, etc.) and, secondly, API function which provides integration with Win32 Shell (such as COM objects used to create own items in context menus) and which is used to get access to Windows resources.
I think, if there no need to learn about first type of API calls. Just know about their existing and overall working mechanism is sufficient. You can use any of the existing UI framework to create your own application' GUI (Qt, GTK+, WindowsForms, MFC - anything is welcome (but last one is really horrible). So, you need to concern about second type of API calls to allow your program perform deeper interaction with OS itself.