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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.

While you might be looking for some resources, a copy of this book did me well: https://www.amazon.com/Introduction-Bit-Assembly-Programming-Linux/dp/1484921909/

Violent Python: A Cookbook for Hackers, Forensic Analysts, Penetration Testers and Security Engineers https://www.amazon.com/dp/1597499579/ref=cm_sw_r_cp_api_nZOMAbWE1K8Y9