I have seen instances of __declspec in the code that I am reading. What is it? And when would I need to use this construct?
Essentially, it's the way Microsoft introduces its C++ extensions so that they won't conflict with future extensions of standard C++. With __declspec, you can attribute a function or class; the exact meaning varies depending on the nature of __declspec. __declspec(naked), for example, suppresses prolog/epilog generation (for interrupt handlers, embeddable code, etc), __declspec(thread) makes a variable thread-local, and so on.
The full list of __declspec attributes is available on MSDN, and varies by compiler version and platform.