We include source code for several of the Windows based client apps we provide in the SDK such as hello_client (under the /Apps/hello_sensor directory) and OTA Upgrades (/Apps/ota_firmware_upgrade), but I'm not aware of any documentation or walk-throughs specific to Windows development under BLE.
Although I was able to find a similar question here which you may find helpful: API for VB.NET, VC#
jnguyen.pelagic
