When do I need the Windows SDK and what is .NET for?

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I am a student and after taking some introductory programming courses in Java, C, and just finishing up a book on C++, I would like to start developing applications for Windows.

I have done my best to page through google and find the answers I need, but I seem to be at a loss.

When would I need the Windows SDK over just the regular API? And what is .NET and why would I need it? What is so special about C# and should I use that over C/C++?

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