I'm going to post some tips here for searching msdn, as it seems a lot of people have trouble finding their way around msdn.
Finding Functions
Believe it or not, but the best way to search msdn, isn't with msdn, but with google. For example, say you want info on the GetWindowText function, let's try this query at google:
GetWindowText msdn
Type that in to google, hit "I'm feeling lucky", and bam! Up pops the msdn page for the GetWindowText function. Now, you could even get rid of the 'msdn' part of the query, and still get to msdn with that search, but there are functions that, if you don't put the msdn at the end, you will end up elsewhere (which may or may not be a bad thing).
For example:
atof
would bring you to a site describing atof, but
atof msdn
would bring you to the msdn version for that function. In other words it's merely a matter of preference.
Win32 Messages
Finding win32 messages is just as easy as finding functions, you still use google, but this time you do:
WM_SIZE
ACM_OPEN
etc....The exact same concept, and it's really not that hard to figure out at all! If you want to make sure you get directed to msdn, just add an msdn at the end of the search query.
API Information
Let's see if you can figure this one out....let's try and find an OpenGL function, got any guesses?
glLoadIdentity msdn
wow! Not any different than anything else!
So, yah, there's no point in adding any other ones, I just wanted to get the point across that it's incredibly easy to find information on msdn, just as long as you don't use msdn's search options (they suck compared to google).
And here's some good quick links that are worth bookmarking:
OpenGL Reference
Individual Control Reference (Win32 API)
DirectX Documentation