The Win32 application programming interface (API) defines the 32-bit members of the Windows operating system family from the programmer's point of view. Some members of the Windows family use the entire Win32 API, while others use subsets. For details, see Windows 95 System Limitations.
The Microsoft Foundation Class Library (MFC) encapsulates, or "wraps," much of (but not all of) the Win32 API. MFC versions 2.x and earlier encapsulated the 16-bit Windows API. In general, MFC supplies classes representing key Windows objects, such as windows, dialog boxes, brushes, pens, and fonts. The member functions of these classes wrap most of the important Win32 API functions associated with the encapsulated object. That is, the MFC class member function calls the Win32 API function (it may do other things as well).
With Visual C++, you can program for Windows using either C or C++ and the Win32 API, or using C++ and MFC. Visual C++ includes documentation for writing in C or C++ and for MFC. It also adds the Win32 SDK documentation, which is your source for most general information about programming for Windows. Aside from the Win32 SDK documents, the Visual C++ documentation focuses on what Visual C++ adds to the package: C++, MFC, and ATL. Most of the documentation you are reading is about C++ and MFC, but it frequently references the Win32 SDK for Windows concepts and techniques. If you are new to programming for Windows, reading a good third-party book is recommended.