You could try creating a text adventure game as a console application. It envolves combining most of the basics and a few advanced features to make a really good one. Make sure you incorperate classes - ans use advanced OOP when you can. If you are sucsessful in this, then possibly move on to openGl or even beginners windows programming.
A very easy windows program to create a message box:
Code:MessageBox(NULL, "Darn, you did wrong...", "ERROR", MB_OK | MB_ICONERROR);