These are the only three development sites I have in my Microsoft Internet Explorer Favorites folder:
MSDN is the first place to start for Windows information. MSDN Online can be accessed at this address, as well as through the Microsoft-endorsed magazines Microsoft Systems Journal (MSJ) and Microsoft Internet Developer (MIND). Keep in mind that MSDN is partly a marketing organization, so sometimes a little hype creeps into various pieces.
Mark Russinovich and Bryce Cogswell have some of the best debugging utilities around: Regmon, Filemon, DebugView, HandleEx, and many more. Many utilities come with full source code, and all are free! I check Mark and Bryce's site at least once a week so that I can keep my competitive edge.
This is the Web site for the Most Valuable Professional (MVP) newsgroup contributors. MVPs are developers and users who are experts in a particular area and assist in the various newsgroups with answering questions about Microsoft technologies and products. This site has great FAQs and links. I always read the newsgroup postings of Felix Kasza, Tomas Restrepo, and Karl E. Peterson.
Here are some other sites you might be interested in perusing
Primarily a Visual C++ information site
A technical information exchange site that covers many Windows topics
Everything you ever wanted to know about the x86 family of processors
Archives of some useful mailing lists, such as ATL and DCOM