I am reading about console applications and I don't know how command prompt and win32 console are connected. Are they the same thing?
Your computer has many console mode programs. It has only one Cmd.exe. Which is the command interpreter, it displays a prompt and let you type commands to start other programs.
You ought to play with Dumpbin.exe, included with Visual Studio. Use its /headers option to look at the header of an executable file. Such a file indicates what sub-system it wants to run on. There are three common ones you can encounter:
Windows used to have more sub-systems, like OS/2 and Posix, but they fell out of use. Win32 won by a land-slide. The distinction between the native OS and the api layer is also the core way Microsoft innovates on the OS, the Win32 api is frozen in stone and can never be changed, only added to. They can change the native OS as they see fit. Vista was the last one with very drastic changes, major version 6. Windows 2000 was the previous one, major version 5.