Marks, I know how you feel. I remember learning C and thinking that I knew it all. Then the Windows API programming approach comes along, and totally throws away the old procedural method with loops, callbacks, and the like. It's confusing, but eventually you get the hang of it.
The best thing I can recommend for you to do if you're truly serious is to buy yourself a good Windows programming book, and learn from that. Study the concepts, code until you've memorized the basic WinAPI code, and continue making test projects.
If you don't want to or can't buy a book, my suggestion is to keep googling until you find a tutorial at your level. One that happened to catch my eye is this one:
http://people.montana.com/~bowman/Software/winAPI.htm
Which *may* be at your level. One interesting thing it says here:
Win API programming is not an entry level task. If you are not reasonable competent in C or C++, you really need to have a basic mastery of the language.
Since you're just learning C/C++, perhaps you should slow down a little bit. Don't try to speed up learning, because it just doesn't work.

(Which is my argument against semester-based systems.) If you take the time, you will learn it.