But Windows source code is not shipped in the RTM so smart developers like you are always frustrated when trying to know what's going on inside an API call. You feel your control over the OS is greatly reduced. I'm having the same problem but with the following tricks I find things get much better.
1. Download Windows debug symbols when necessary.
Go to Tools - Options - Debugging - Symbols, add "http://msdl.microsoft.com/download/symbols".
Then you see call stack when the execution breaks inside an API call, with meaningful function names.
2. Set breakpoints on Windows API.
Go to this page to see how to set it. http://msdn.microsoft.com/en-us/library/d16ayc6z.aspx
The important thing that's missing from MSDN, as to my experience, is that the best way to get decorated name is through DUMPBIN.exe. Eg: "dumpbin -exports shell32.lib"