Win32 isn't that bad, but it is C, so you are constantly struggling against a lack of type-safety when decoding message structures. Its okay.
Re the high performance thing though, libraries that wrap Win32 (Qt, WxWidgets) and take a great deal of pain out of the process don't really preclude any of the performance. You have to bear in mind which bits need to be high performance - they are hardly likely to be related to the GUI. I doubt you need to shave any cycles off what happens when a button is pressed, or when a scroll bar is rendered.
It is more likely your high performance will be required in either calculation or rendering. In the first case, the GUI library you use is entirely irrelevant. In the latter case, GDI, which is the graphical part of Win32, is not an appropriate choice for high performance rendering in the modern world - you want to look at an API (OpenGL, Direct3D, Direct2D or whatever it is called, etc) that will take full advantage of graphics hardware, so again the library wrapper around the GUI is not important.
That all said, Win32 can be quite satisfying in a perverse sort of way and I still prefer it to underpin full-screen game applications since the Win32 needed is quite minimal. Since getting proficient with Qt at work though, I'd never write a raw GUI application again, but I've already had my years of fun with Win32 and you haven't so the best of luck to you.