C++ really confused?? msdn, sdl, api ext......?

I am a beginner c++ programmer. Only have been working in console mode but would like to move onto win32 or win64 apllications and eventually games. When i search on the net for C++ tutorials i get terms like sdl, msdn. api and i have know idea what they mean. Also i downloaded a sdl library for dev-c++ and linked it. is the sdl library a standerd or are there other versions. does it work with opengl or directx. If possible i don't want to program using the .net framework. It's a ok for nissness applications but not games because you need mor control over the GUI. I don't know where to start when it comes to win32 programming? any help would be appreciated?