Two good books exist:
1. "Debugging Windows Programs: Strategies, Tools, and Techniques for Visual C++ Programmers"
http://www.amazon.com/Debugging-Windows ... F8&s=books
2. "Debugging Applications" - unfortunately out of print and the author clearly moved to .NET space
http://www.amazon.com/Debugging-Applica ... F8&s=books
The second edition covers both .NET and native
"Debugging Applications for Microsoft .NET and Microsoft Windows"
http://www.amazon.com/Debugging-Applica ... F8&s=books