I'd recommend against learning C++ *first*.
And if you insist, I'd advise you to read about the difference of Windows and XWindow programming first. Learning concept like Windows message pumping mechanism and how DLLs load/unload can help you get better understanding on what to expect on MFC or whatever framework library you choose.
There's old books "Osborne Windows Programming series" which is written for Win3.1/Win95. Most of the concepts there still hold true, and things are simpler at that time. If you can find it at local public library, I'd suggest you to borrow book1 and take a look. (The book is written in "classical C" without any framework like MFC, so that examples don't hide the commonly abstracted-out parts and you can compare the difference against XWin programming more quickly. Not need to buy the one, through)