I absolutely recommend Andrew Troelsen's Pro C# with .NET 3.0 - the best book on C# I ever read (and I "tried" a lot...). The book, however, covers the language and all of its advanced constructs in-depth, it does not focus on building WinForms apps, though it also covers WinForms.
For WinForms I found Erik Brown's Windows Forms Programming with C# VERY helpful. This one takes you through building an entire ap with Visual Studio step-by-step.