The actual code that implements the Win-32 API is defined in various DLLs on your system. These DLLs have names such as kernel32.dll, comctl32.dll, etc. You will find them in C: \ Windows \ System32.
What usually happens is that you bind your code to kernel32.lib, etc., which has a little code to dynamically load the DLL when your program starts. This allows Win32 API functions to access DLLS directly.