Reddit mentions of Windows via C/C++

Back when I was developing low level applications on Windows, I purchased: https://www.amazon.com/Programming-Applications-Microsoft-Windows-General/dp/1572319968 (newer version: https://www.amazon.com/Windows-via-Jeffrey-M-Richter/dp/0735624240/ref=dp_ob_image_bk)

It is a very well written book. When I wanted to learn more, the author (Jeffery Richter) pointed me to:
Windows Internals by Mark Russinovich (https://docs.microsoft.com/en-us/sysinternals/learn/windows-internals).

Between the 2 (now 3 since Windows Internals has part 1 & 2), you should get a solid foothold programming in Windows.

If you're talking about Windows, Windows Via C/C++ is what you want.

If I had known about the existence of these two books (or rather, their earlier editions) a decade ago, I would have been well on my way to being a better Windows programmer. These two are MUST READS for win32 programming (if you don't want to use .NET framework or other abstraction layers.)

Windows Internals, by Russinovich and Solomon

Windows via C/C++, by Richter and Nasarre

Again, if you want to do non-.NET Windows programming, these books are pure gold. (The older books by Charles Petzold are kind of getting out of date, but were good too.) Also, check out Raymond Chen's blog The Old New Thing for tons of cool bits of Windows dev history

EDIT: Also a must read: Advanced Windows Debugging this is a must if you want to learn how to properly debug "unmanaged" (i.e. non-.NET) applications. Also a pretty good intro to reverse engineering or cracking apps on Windows.

Depending on your exposure to exploitation in general, it may be best to briefly introduce yourself to exploitation on Linux first to learn the basics, as there are some additional complexities with Windows exploitation not present in Linux exploitation.

That said, here is a great course that specifically focuses entirely on windows exploit development. Here is an equally amazing series that is probably best used as a supplement during and after that course

If you find that you're struggling with understanding the material (specifically for the OpenSecurityTraining videos), it might be best to follow along the prerequisite knowledge "chain", on the pages for each class (Ex: Confused by exploitation concepts that he doesn't explain in depth in Exploits 2 --> Try out Exploits 1 -- as he probably expects you to know a few things from it already. However, if you find that you may be rusty in assembly --> Sharpen up through their Intro to x86 course, and reviewing/learning C on the side. If you want to understand key differences between Windows and Linux binaries, their Life of Binaries course is pretty good too, but that course itself is not fully necessary for just getting started imo.

If it's a matter of you not being a fan of the teaching style for any reason, an alternative course is Sams Class (which I should let you know ahead of time, covers both linux and windows). Both courses include labs for you to work with as you learn (Sam's class even offering extra mile labs).

As for digging into WinAPI, Windows Internals is probably best used as a reference for when you need it (whether you come across something that specifically requires that information, or reach the point where you need new rabbit holes to dive into). If you can manage to get a course with any of the authors of the book, that may be best for thorough learning of that content. Here is a free alternative, by the co-founder of 'Trail of Bits'.
I personally learned a lot through Windows System Programming and Windows via C-C++, but nothing in this paragraph is necessary to initially jump into windows exploitation. If anything they may be helpful after you start to move beyond the basics.

Even if you aren't going to use C++ I would suggest getting Windows Via C++ by MS press (http://www.amazon.com/Windows-via-Pro-Jeffrey-Richter/dp/0735624240). It is by far the best way to learn the internals on how windows works and helps a lot with those head scratching moments even with higher level languages. COM is also used a LOT in widows programming. Being able to understand how it works can be a big help as well.. There is the "Don Box Book", Essential COM which I'd buy. You'll probably only need the first couple of chapters but It is a really well written book as to not only what COM is but WHY it is and how it came to be.

Also for C++. If you have VS Express installed get the Windows SDK (it's free) and look up how to integrate it with VS. It is a LOT more powerful and you get a lot of useful tools with it as well as decent samples.