I am not a developer hence not up to date with the latest developments into the tech world. I am thinking of creating a desktop application for my own use and trying learn the best available technology doing the same if I could. I am planning to develop it for windows and I have hands on experience on C++ and visual studio. Will look forward to an expert advice.
Unless you define what exactly your priorities are, there is no real answer to this question (as it happens with most "What is the best ...?" questions):
Those are just a few things you need to clarify before a good answer can be given.
Using flex to create an AIR app would let you create a cross-platform desktop app.
I have to throw my support behind Java Swing apps here. As a desktop Java developer for many years, I've developed many solid applications that do indeed run on multiple platforms.
You can definitely get very in-the-weeds with Swing (CellRenderers, etc), but basic Swing by itself will probably satisfy 80% of the use cases.
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