Someone may have said this before me, but what I did to learn was just pick out projects that had concepts in them that I didn't understand. Begin the project and do as much as I could, then when I was stuck I would just look up how to do what I needed to do, and then implement it in my own way. This was all of course after I had read a basic C++ book, read some other basic tutorials, etc.
*Johnnie's Winsock Tutorial is also a good way to go if you want to get into network programming LINK -----
Johnnie's Winsock Tutorial
*Reading up on threading could also be useful as you need to be able to use threads if you want to emulate multi-tasking in your programs
*I would also suggest looking at source code and programs on the internet, and then just trying to make them better
*And there is some good Win32Api tutorials out there if you want to get into that kind of stuff
Hope some of that helps