I played around a bit with Python. Mostly the ActivePython distro with the Windows COM support. There are things I like about it, but as you say, doing a freeze to pack stuff up in a self-contained thingy can be weird.
If you really feel the need to learn C++ then I'd suggest going with the C++ Express Visual Studio 2008. Somewhere months back I found an .iso image with SP1 integrated and the install on my Vista64 went smoothly. If I'm not mistaken, some of the Borland guys who did the delphi form designer stuff went over to MS a few years back. The form design in VS has pretty much the same feel to it.
Unless you are using the newer features you can target .NET 2.0 and it will run on just about any windows XP and later. One thing I did like about C# stuff that I did with it, is you can persist settings in the application using properties. The C# forms support alpha transparency just using an opacity value. So for example if the user moved a slider to set the opacity of the form, then closed the app, you could have it set up to automatically persist the value in the user's settings.
Some things it makes easy.
Cool looking stuff with glass and non-rectangular forms or skins, that kind of stuff takes a bit more work.