Since it seems you already have, or have access to visual C++, I would recommend starting with Console applications and leaving the visual windows stuff until you have a very firm and comfortable understanding in basic C++. Since the "(dark and obfuscated... ) Win32 API and MFC" is nothing but a specific extension of C++, it's only natural to learn the base, then the extentions. This way, if you decide to move to other platforms like *nix (you will if you konw what's good for you ) you should have little problem, as you will only be learning another extension to the foundation of knowledge you've already created.

hope that helps.