You dont have to do anything special to mix them. Just remeber that when creating your own classes dont use the __gc keyword in the declaration if you want to have an unmanaged class, or use the __gc keyword if you want managed class.
With C++, you dont have to use MFC if you dont want to. But some people will not recommend using MFC because of all the overhead it adds, instead use the Win32 API to create the gui.