If you are not on windows, or you just want something more cross-platform, you'll need to use a GUI toolkit. The universal favorites are (in no particular order):
Trolltech Qt
GTK+ (and a nice C++ wrapper: GTK++)
wxWidgets
FLTK
FOX Toolkit
You may also want to take a look through The GUI Toolkit, Framework Page.
With the exception of Qt, all those I listed are GPL or better. Qt requires strict non-commercial use (now and in the future) for programs written with the free version.
Hope this helps.