Optimize to the Max
Developing Optimized Code with Microsoft Visual C++ 6.0
March 1999 - Martin Heller
This article, as the title suggests, shows how to write optimized applications using Visual C++.
Know your FPU
April, 2000 - Michael Herf
This article talks mainly of how to make fast conversion of float to integer. It gives various examples of it.
Windows Data Alignment on IPF, x86, and x86-64
Feb, 2003 - Kang Su Gatlin
Optimizing software in C++: An optimization guide for Windows, Linux and Mac platforms
Aug, 2006 - Agner Fog
Agner Fog's home page
This site has valuable information on software optimizations, and also a few other cool stuff, such as random number generators, CPU detection routines, and links to other resources.