In case you don't want to write the code yourself, SysInternal's handy coreinfo utility comes closest to answering your questions. It implements GetLogicalProcessorInformation as Mehrdad recommends. For a Xeon E5640 (quad core, 8 threads), you get from coreinfo:
c:\App\SysInternals>Coreinfo.exe -c
Coreinfo v3.0 - Dump information on system CPU and memory topology
Copyright (C) 2008-2011 Mark Russinovich
Sysinternals - www.sysinternals.com
Logical to Physical Processor Map:
**------ Physical Processor 0 (Hyperthreaded)
--**---- Physical Processor 1 (Hyperthreaded)
----**-- Physical Processor 2 (Hyperthreaded)
------** Physical Processor 3 (Hyperthreaded)
There are 8 * for the 8 hyperthreads, two per core, as expected for this chip. What's not clear, though, is how the arrangement of * matches up with the list of logical processors as Windows presents them. For instance, Task Manager gives me a dialog for assigning the processor affinity, labeled CPU 0 through CPU 7, for any process. It's fair (but not necessary) to assume that you can take coreinfo's output and number the logical processors left-to-right. So "CPU 5" would be the second hyperthread running on physical processor 2.