The problem I'm having is that none of these platforms is really standard in the industry, and I'd really like to get into the meat of things and start programming in C++ for windows.
What do you care about more - getting things done faster & easier or what some industry duds use?
You kinda make it sound like using C++ will open the doors to some magical wonderland. Or makes you a cool dood. Or you will be making better games. Neither of it is particularly true.
Except for performance and portability, there isn't any intrinsic advantages of using C++.
What platforms are available for C++ game development in windows, and what development environments do you recommend?
I would use MS Visual Studio 2010 & Visual Assist X plugin (MSVS 2010 has some of C++0x features what makes C++ less painful to use). And there simply isn't a better C++ IDE out there.
As for libraries - i would either use SFML, or a combination of OpenGL, Glfw, OpenAL and OpenIL (aka DevIL).
I'm not sure where to start, though. I could continue using .NET and visual studio, but that seems like a step in the wrong direction.
Why?
Quite honestly, C# and .NET rocks.
If you don't care about other platforms, there isn't a single reason why you shouldn't use C# & XNA.
If you care about other platforms, you can still use C# with Mono and OpenTK.
Now what i've been using C# for quite some time, there's plenty of things i miss in C++:
Fast compile times (C++, especially with some heavy boost template usage, compiles very slowly)
Reflection along with all goodies that comes with it, like extremely easy to use XML serialization and meta attributes.
foreach keyword (boost has BOOST_FOREACH macro, addressed in C++0x)
lambdas (boost.lambda, addressed in C++0x)
delegates & events (boost.bind)
Using boost might result into some very cryptic template error messages.
C++ is quite verbose (C++0x at least has the auto keyword).
You can do a lot with C++(like write template hacks that implement a significant amount of features you would expect from a modern programming language), but I still find pre-C++0x C++ a pain in the asshols to use.
And it will take quite some time till the standard is published in 2011 and fully supported by all major compilers (GNU GCC has a significant amount of C++0x features implemented,
http://gcc.gnu.org/projects/cxx0x.html).
It would still compile slowly though.