That depends on what level of detail you're looking for. If you want the nitty-gritty details, then you need to get right down to the Win32 API (which contain the functions that MFC wraps around). For that, I would suggest reading Chapter 5 (regions) and 16 (palettes) in Charles Petzold's "
Programming Windows " from Microsoft Press. I guarantee you will walk away with more detail than you will ever know what to do with.
However, if you're just looking for some detail on the classes themselves, then
this or
this might be a good place to look for regions, and
this would be a good place to look for palettes.
Edit: Note the MSDN links work better in Internet Explorer than, say, Netscape. Hmm... I wonder why?