You could start with the Win32 API maybe even some GDI calls or load some sounds, generally one of the first things you do is create a window then initialise you graphics libraries like OGL or DX. So maybe search for some tuts on creating a window, or if you create a windows application in your IDE this will show you how to do it.
There are tons of WIn32 API calls also so have a go with some of them.
You have to learn how to use an API call, it's essentially calling a function. Get used to the parameters, you will come across some new defined data types, like BYTE, WORD, DWORD, LPSTR when using the Win32 API, these are just defines that Microsoft like to state and then all your wide strings for unicode get used to some of this I would say, you really don't need to spend a lot of time with this, however, I think it's a good starting place. This will familiarise you when using/calling OGL/DX API's.
It's really not complex once you familarise yourself however what is complex is how to know all the sub systems of a game engine, the maths(2D/3D space representation) how it all intertwines together, hardware limits and code optimisations.
This looks like a good start, http://www.winprog.org/tutorial/start.html