Windows Internals

Besides the great learning resources at MSDN, the Windows Internals series is a requirement. Then depending on which area of Windows you want to focus on, there are plenty of Microsoft Press books.

This is the best answer. Windows Internals is a great book/reference for understanding how Windows work, but it won't teach you how to actually program Windows. The Fifth Edition of Petzold's book will actually take you through the Win32 API, which is still usable even on modern Windows platforms.