It depends, I think, how much UI you require. The benefit of frameworks such as MFC is it wraps a lot of boiler plate code for you. However.. if executable size & dependencies are the major constraint, it can be quite fun to build a tiny app.
It's quite possible to build a Windows application with bare essentials (a dialog, etc) and make use of common dialog resources which will already be installed (e.g commdlg.dll).
To keep it as small as possible I'd recommend writing It with C++, preferably with the MSVC runtime for ease. The Win32 API is pretty easy to pick up in terms of the essential steps, e.g. registering windows and creating a message proc.
Can you be a bit more specific with what you'd like to know more about?