Weekday

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Well, I used DumpBin (included with VC++) to get a list of all the exported functions of a DLL. There are probably other programs that do this.

For just the WinAPI, you might try API-Guide from allapi.net. It has a search function so you can search on titles, etc.

You can also just search MSDN for any function (not method) in the Platform SDK. Any of them should list the library (i.e. dll) that they're included in.