Traditionally, (at least at the time of "Borland C++"

the differences were in the libraries that were provided by each vendor to make windows programming easier.
For example, Microsoft included the MFC (Microsoft Foundation Class) library and Borland included the OWL (Object Windows) library. Both libraries provided similar functionality, although the precise names of each of the library functions differed between the two. Although Borland did not include MFC (due to licensing issues), their compiler did support it if you had MFC installed (i.e. you also had Microsoft's VC++ product installed).
Now that Borland has C++ Builder and Microsoft has Visual Studio .net the differences are likely much greater.
I know that Borland's advanced middleware (MIDAS) supports CORBA, whereas Microsoft supports COM+ (now called .net), both of which are designed to do something similar, but which are completely incompatible... so the differences have been getting much greater.
But, if you're asking about basic C, C++ and Windows programming (rather than advanced topics like COM or CORBA), then either implementation can get you started and take you pretty far along the path before they diverge...
If anyone disagrees or would like to clarify anything I've said, please feel free to speak up...