C++ is a programming language. It's compiled, which means you need a compiler to translate the source code into an executable program.
VC++ is a compiler from Microsoft which runs on MS Windows, and compiles C++ code into executable programs for MS Windows operating system.
There are various kinds of programs that you can write in C++, ranging from device drivers to webbrowser plugins. Well, you could even write your own operating system if you fancy that.
To ease your development, compiler developers (and third parties) have written various kinds of useful libraries. MFC is an example of a library (a framework to be more precise), which helps you in development of "visual applications" on MS Windows. There are other alternatives to MFC in the market.
Now coming to your questions:
MFC is Microsoft's framework for creating visual applications in Visual C++. CLI is command line interface. CLI applications typically don't have any visual element except for the command line input---they mostly don't have any menus and mouse interaction, either. Win32 is a generic term for 32 bit MS Windows application. You could also develop for 64 bit Windows.
C++ is a language. VC++ is a compiler. This compiler comes with some additional features, beyond what's available in C++ to ease MS Windows development, specially via MFC.
There is no standard term as a "visual application" but loosely speaking, without graphical elements your application won't be considered a visual application.
Dialog boxes, forms and other GUI elements do come under Win32 programming. You could make use of MFC to ease your development of such Win32 applications, as hinted earlier.
Beyond console based and Win32 Programming: I think you are getting confused because of the various "wizards" that come with Visual Studio when you create a new C++ project in the IDE. There could be several types of wizard configured in your installation; just to give you a few examples: you could also have ActiveX and MFC controls as the "type of application" you want to create.