A Window Class stores information about a type of window, including it's Window Procedure which controls the window, the small and large icons for the window, and the background color. This way, you can register a class once, and create as many windows as you want from it, without having to specify all those attributes over and over. Most of the attributes you set in the window class can be changed on a per-window basis if desired.
A Window Class has NOTHING to do with C++ classes.