There're a few options for creating GUIs using C++. I guess you are using Windows(you should've mentioned it and as many use it). So the most common options available are;
1. The Win32 API (Base of all other APIs/Libraries on Windows).
2. MFC/WTL.. (Windows specific GUI libraries)
3. QT/GTK+... (Cross-Platform GUI libraries)
4. .Net with C++ (Managed C++)
An operating system is described by its API for the programmer. So on Windows the layer which connects the operating system and a software is the Win32 API (which also includes creating GUIs). Windows API(another name for Win32 API) is faster than other frameworks (MFC, QT....) but it's a lot of code than other frameworks which are available. So the only con of the Win32 API i see is that it takes much more time and effort to develop with.
Note:API is the least of many factors which affects the execution speed of a program. Some .Net programs can be faster than some Win32 programs if you do not write code properly.
All the other frameworks and APIs (MFC, QT, GTK+, .Net, WTL, ATL,.....) are build on top of the Win32 API. MFC is just a thick layer which wraps the Win32 API into C++ classes (since Win32 API is in pure C) making it somewhat easier to program with.
QT and GTK+ are cross-platform. You don't need to (in many cases and not always) change your code when compiling for different platforms.
I think it's not so effective to use C++ with .NET, because you can use C# with .Net.
If you learn the Win32 API first, you'll understand more about how an OS works. Generally if you're going to use MFC and/or WTL you should learn the Win32 API first. Learning QT and/or GTK+ will be the easiest. Qt is more recommended these days. Qt is great if you quickly want to create a GUI.
Resources:
1. Win32 API -
Programming Windows - Charles Petzhold (for reference)
2. MFC - google for tutorials (MFC is very easy once you understand something in Win32)
3. For QT/GTK+ they're a lot of tutorials online.
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