Here are links to some of the most useful sites on the web for Windows programmers. Each site in turn may have its own links to further sites.

The (unofficial) home site for the MVP program. Authored by Felix Kasza, this site contains WinNT systems programming information, and links to many other MVP-run sites. Also contains the MVP FAQ.
Taking off where the Microsoft Foundation Classes end, this site makes many useful classes available for download. Unfortunately although there's a lot of stuff on here it's often rather difficult to find what you want, so I suggest you go to....
...The new site from the folks who used to run CodeGuru, before it got sold. Much easier to navigate than codeguru.
Joe Newcomer's site
Joe Newcomer's site. Joe was contemporary of mine in the MVP program who has a lot of helpful tips on his site, generally in the form of longer articles than you'll find here.
The site formerly known as NTinternals, this provides information and utilities for people who work with Windows at the nuts and bolts level.
Andrew Tucker's Page
Some of the most useful things developed since the toothbrush can be found here.
More classes
The Win32 FAQ originating from the hierarchy.
P.J.Naughter's Site
A handy site for MFC classes and tips.
InsaneGenius Library
A general purpose Public Domain C++ Win32 programming library (author retains copyright, naturally). Useful classes for stuff like IOCP sockets, exceptions, threads, logging, COM, ADO etc.
Winsock FAQ
The Winsock programmer's FAQ. Includes non-MFC socket sample code.

Software in General

Joel on Software
A good programming management site with some outstanding articles. Read the one on recruitment if you read nothing else on here.
Paul Graham
There is some truly fascinating writing on this eclectic site, by a philosopher turned programmer.
Coding Horror
Jeff Atwood's eclectic little coding site. Any topic can turn up in what is effectively just a blog, but it's been quite influential.
Stack Overflow
A community self-help site started by Joel Spolsky and Jeff Atwood, Stack Overflow became a victim of its own success - the posting rate grew to such prodigious proportions that questions scrolled into the distance before they stood a chance of being answered. Has since spawned innumerable variants of itself on many topics.

Last but not least, commercial sites. These guys will help, but at a price. Inclusion here does not constitute a recommendation - I don't have time to do a job, run a site and do evaluations.

Commercial Sites
Want to access hardware under NT but don't want to write a driver ? See these folks.
Northwood Software
GO++ diagramming library, Sanscript visual scripting tool
Stingray Software
Extension classes
Dundas Software
Extension classes
Grids, treelists, fancy toolbars et al. I've used the Delphi VCL versions of the DevExpress components, and they're pretty good. They now also sell .Net and ActiveX versions.