download Visual C++ Express from microsoft (it’s free), and the Windows Server 2003 Platform SDK SP1 (despite the name it’s for winXP too) and of course download juce.
jules has instructions for setting up VCExpress and compiling juce. (in the juce download)
get some C++ / Object Oriented Programming books. knowing some C is good I think (I didnt). start with the basics (ie hello world), not using juce.
then start farting about with the juce example project.
avoid most stuff (books) about win32 programming. Jules has kindly done all that crap for you.
read the jucedemo source code, and indeed the juce source itself: Jules is a very good programmer, very object orientated (code, not him).
and feel free to ask ask here!!
oh and welcome!
PS yes, general juce discussion is the place for this. this windows bit is more for windows specific problems.