PHP is very widely used, there's a lot of jobs for it but there are also a lot of people going for those jobs. If you're used to working with Windows you should probably stick to Windows. .NET is very widely used for both web and computer applications. Your SQL Server experience will translate nicely to that.

I dabbled in CF back in 2007 and didn't continue since I saw it as a sinking ship. I remember it being unlike anything I had used before, having come from more of a C based background. You may have a hard time adjusting to anything else if you only know CF. Knowing any C style language would be of immense help here.

I'd pick up a copy of visual studio express and start playing around with C# .NET. Stay away from vB. The code you use for computer apps is nearly identical to the code you'd be using for web apps. The only major difference is how output works (I've written DLLs that served both computer and web apps at the same time).