Don't use CLI, be hardcore and use win32API or MFC for windows, or wxWidgets for cross platform, managed C++ isn't C++ at all, it's more like a java/c#. If you don't care that much for performance, use those instead. Otherwise make full use of memory management and the speed that regular C++ offers.
There really are a lot of considerations here. A lot depends on what you want to do and accomplish, and how much work you want to put into it. I've written a lot about it here you might find useful...