New to Windows programming.
Which of the following C++ API can be used to create this kind of GUI in Windows ( it was created using AutoHotkey )
- Windows API,
- MFC,
- Visual C++
- .NET ?
It has quite native interface, and does not require any dependency (small exe).
Moreover, which is preferred for simple apps?

All of the above can produce such a GUI. From your list, .net with WinForms is the simplest.