Microsoft libraries:
From unmanaged C++ you can use either native Win32 API, MFC or ATL/WTL.
The native Win32 API is a collection of C-style methods exposed by the Windows family of OSes. These APIs work by manipulating windows and message loops. You can start reading about Win32 in the MSDN Windowing section.
MFC is a C++ class library which provides rich object-oriented wrappers around the Win32 APIs. It abstracts the Win32 windows as CWindow class and message loops as CMessageMap. You can read more about MFC on MSDN.
ATL/WTL is a lightweight C++ template library, which started as a C++ wrappers for COM and later adopted some ideas from MFC (thus sharing the same classes names) for support of Win32 windowing. The ATL windowing support was later split into WTL, which was then released as open source. The ATL windowing support is documented on MSDN in the ATL Window Classes section.
From managed C++, you can use either WinForms or WPF. Both are fairly thoroughly covered on MSDN, although their documentation and samples are heavily skewed towards C# and VB.Net. I personally would also recommend you look at C#, if you want to explore these UI platforms.
What you need to use these:
Of course, first you need a C++ compiler. :-)
To use the Win32 APIs, you only need the Windows SDK and optionally Visual C++ Express.
To use MFC and ATL, you need one of the Visual Studio Professional or above editions. ATL and MFC are not included in Visual C++ Express. (ATL/MFC might be included in the WIndows SDK or other free products that I am not aware of.)
WTL 8.0 is available as a free download. You can also get WTL sources from Source Forge WTL project.
To use WinForms or WPF, you need the latest .Net framework (well, tehcnically you need any .Net framework :-)) and optionally Visual C#/VB.Net Express. I am not sure if Visual C++ Express supports managed C++.
Third-party options:
There are several third-party C++ libraries that wrap/abstract the native Win32 APIs. Some of them are sufficiently abstract to allow developing UI not ony for Windows, but other platforms as well. Qt and wxWidgets are couple I know of, but have never used.