On Windows, APIs that take char * use the current code page whereas wchar_t * APIs use UTF-16. As a result, you should always use wchar_t on Windows. A recommended way to do this is to:
// Be sure to define this BEFORE including <windows.h>
#define UNICODE 1
#include <windows.h>
When UNICODE is defined, APIs like SetWindowText will be aliased to SetWindowTextW and can therefore be used safely. Without UNICODE, SetWindowText will be aliased to SetWindowTextA and therefore cannot be used without first converting to the current code page.
However, there's no good reason to use wchar_t when you are not calling Windows APIs, since its portable functionality is not useful, and its useful functionality is not portable (wchar_t is UTF-16 only on Windows, on most other platforms it is UTF-32, what a total mess.)