William Shakespeare wrote, "All the world's a form, and all the controls and labels merely players: They have their exit events and their entrance events; and one control in its time exposes many properties" (from "As You Code It," Act 2.7.0). Although .NET was still in beta when he penned these words, they apply perfectly to any Windows Forms application you write even today.
The .NET technology known as Windows Forms includes all of the classes and features needed to develop standard "desktop" applications for Microsoft Windows. In the early days of Windows, this was pretty much the only type of program you could write for the platform. But now it is just one of many application types, along with console applications, Web ("Web Forms") applications, and services.