A good introduction to writing exploits for the Win32 platform. Walks through creation of an exploit for a real vulnerable piece of software, using OllyDbg to help isolate the fault and exploit it.
You can download it from the following link: https://packetstormsecurity.com/files/download/34692/Intro_to_Win32_Exploits.pdf
Source: https://packetstormsecurity.com/files/34692/Intro_to_Win32_Exploits.pdf.html