Well, you can overcome the platform dependencies by switching to java.

But if you're talking about windows, we'll just say you want to create your own little web browser ALA internet explorer...

Grab a copy of visual studio and start tinkering with the windows based form.

I'm assuming that what you're talking about when you say GUI is some form of event driven programming. Such as the file menu for your Internet Explorer browser (open, save, edit etc etc).

Thats the thing though... what do you mean when you say GUI?