Study the files that AppWizard creates. At the same time, look at the MFC base class of each class that AppWizard creates. If you understand C++ inheritance, this will begin to give you a sense of how much implementation lurks behind the relatively simple sources put out by the wizard and where things are located in those sources.
The MFC source files are available in the \MFC\INCLUDE and \MFC\SRC directories relative to your C++ installation. The two most important files are AFX.H and AFXWIN.H. Together, these files declare most of the MFC classes and outline the structure of MFC. When you build an MFC application, you aren't building only the few files that AppWizard creates in your project directory; you're pulling in a large amount of well-designed, well-tested MFC code as well.