Advanced Windows™
by Jeffery Richter
Micosoft® Press  ISBN: 1572315482
This is an excellent book.  A must for any programmer wanting to know the internals of Windows 95 and Windows NT.  Mr. Richter discusses the Win32 memory architecture in detail.  Other sections I liked were; Processes, Threads, and Memory-Mapped Files.

ActiveX Programming with Visual C++ 5.0
by Jerry Anderson
Que® Corporation  ISBN: 0789710307
This book I highly recommend.  Mr. Anderson creates all his examples using three different methods of COM; ATL, MFC, and BaseCtl.  This book was great for adding functionality to MFC that you get for free with ATL.  It helped me creating dual interfaces for my MFC applications.

ATL COM Programer's Reference
by Richard Grimes
Wrox Press Ltd. ®  ISBN: 1861002491
This is a great book!  The best reference book for ATL 3.0 I have read yet.   This book is full of great information about using ATL.   No long winded chapters in this book.  The last 200 pages of this book is appendixes on ATL maps, ATL Wizards, enumerators, collections, aggreation, ATL threading and many others.

The Active Template Library : A Developer's Guide
by Tom Armstrong
IDG Books Worldwide Ltd. ®  ISBN: 1558515801
The Active Template Library -- fast, flexible, and reusable -- is quickly replacing the aging Microsoft Foundation Class for programmers developing distributed applications anywhere in a networking environment. Now, instead of building every application from scratch, this developers guide to the Active Template Library (ATL) shows you the inside track on using C++ and C++ templates to effectively build software components to use again and again.
Software developer Tom Armstrong simplifies the mystique surrounding the ATL in readily understandable language that eases your transition into ATL, or improves and refines your ATL skills. And the book is supported by the authors own Web site, which features all the examples and code from the book, as well as updates and additional coverage to keep you up to speed on the evolution of the ATL.

Other good books...

Inside Directx (Microsoft Programming Series) by Bradley Bargen, Terence Peter Donnelly Microsoft Press  ISBN: 1572316969	The Awesome Power of Direct3D/DirectX - The DirectX 5 version by Peter J. Kovach Manning Publications Company; ISBN: 1884777473	Direct3d : Professional Reference by Michael Stein, Eric Bowman, Gregory Pierce New Riders Publishing; ISBN: 1562057251