When writing processor-specific code, the _M_IX86, _M_AMD64 and _M_IA64 can be used for conditional compilation — so far, so good. But sometimes code is not exactly processor-specific but rather specific to the natural machine word length (i.e. 32 bit or 64 bit). Fur such situations, there are defines, too — however there is a little catch: For ancient 16 bit code, there is _WIN16. For 64 bit, the WDK build environment defines _WIN64 by default. Given these two macros, it is tempting to conclude that _WIN32 should only be defined for 32 bit builds — however this is not the case. As it turns out, _WIN32 is always defined, both for 32 and 64 bit builds.
And yes, this behaviour is documented on MSDN, but it is stupid anyway.
However, where _WIN32 can be of use is when writing code targeting multiple platforms — as _WIN32 is always defined, it can be used as an indicator that you compile for Windows, regardless of the compiler used (another option is to use _MSC_VER, but that is compiler-specific).