To run this you need to set up a Win32 project:

1] File > New > Project
2] Select Win32
3] If there is an option, select empty project
4] If you selected empty then add a new .cpp file to the project
5] Add the code shown here
6] Enjoy

Main.cpp:
Code:
// Include pre-written code to help us out
#include <Windows.h>

// Globals
HINSTANCE hInstance; // Holds the .exe in computer's memory
HWND hwnd; // Handles the window
MSG msg; // Message structure
WNDCLASSEX WindowClass; // WindowClass, this will hold some information on the window

// Function prototypes
LRESULT CALLBACK WndProc (HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam);
bool InitWindow ();

// hInstance: Holds the .exe in computer's memory
// hPrevInstance: Not used in Win32
// lpCmdLine: Not used in this program
// nCmdShow: An integer to show how the window will be displayed
int WINAPI WinMain (HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lPCmdLine, int nCmdShow)
{
    // Call InitWindow ()
    // If it returns false then display a message box telling us then close the program
    if (!InitWindow ())
    {
        MessageBox (NULL,
                    L"InitWindow () Returned False",
                    NULL,
                    MB_OK | MB_ICONWARNING);
        return 0;
    }

    // Message loop, this will loop around and send messages to the Window Procedure from the message qeueu to be processed
    while (GetMessage (&msg, NULL, 0, 0) > 0)
    {
        TranslateMessage (&msg); // Changes the msg around a little
        DispatchMessage (&msg); // Sends the message to the Window procedure
    }
    // End the program
    return msg.wParam;
}

// Window Procedure, where all the messages are handled
LRESULT CALLBACK WndProc (HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
{
    switch (msg)
    {
    // These three case statements are for if the message is to close the window
    // If it is, then we will actually close the window
    case WM_CLOSE:
        DestroyWindow (hwnd);
        break;
    case WM_DESTROY:
        PostQuitMessage (0);
        break;
    case WM_KEYDOWN:
        switch (wParam)
        {
        case VK_ESCAPE:
            DestroyWindow (hwnd);
        }
        break;
    }
    // Send all messages not handled to the Default Window procedure
    return DefWindowProc (hwnd, msg, wParam, lParam);
}

// InitWindow, this will create the window for us
bool InitWindow ()
{
    WindowClass.cbClsExtra = 0; // Extra bytes to allocate for the class
    WindowClass.cbSize = sizeof (WNDCLASSEX); // Size of the structure
    WindowClass.cbWndExtra = 0; // Extra bytes to allocate for the window
    WindowClass.hbrBackground = (HBRUSH) (COLOR_WINDOW + 1); // background color, right now it's white, edit the 1
    WindowClass.hCursor = LoadCursor (NULL, IDC_ARROW); // Cursor for the window, loads the default cursor
    WindowClass.hIcon = LoadIcon (NULL, IDI_APPLICATION); // Icon
    WindowClass.hIconSm = LoadIcon (NULL, IDI_APPLICATION); // Small Icon
    WindowClass.hInstance = hInstance; // hInstance
    WindowClass.lpfnWndProc = WndProc; // The wndproc for the class
    WindowClass.lpszClassName = L"1"; // name of the class, will be refered to later
    WindowClass.lpszMenuName = NULL; // no menu so no menu name
    WindowClass.style = 0; // N/A
    if (!RegisterClassEx (&WindowClass)) // call registerclassex function, if it fails return false
    {
        return false;
    }
    hwnd = CreateWindowEx (WS_EX_CLIENTEDGE, // One variable of the style
                           L"1", // name of the class
                           L"Win32 Example", // title of the window
                           WS_OVERLAPPEDWINDOW, // Another variable of the style
                           315, 115, // X, Y co-ordinate values of where to start your window at
                           640, 480, // Width, Height of your window
                           NULL, // parent window
                           NULL, // menu handle
                           hInstance, // instance
                           NULL); // N/A
    if (hwnd == NULL) // Check to see if everything went ok
    {
        return false;
    }
    ShowWindow (hwnd, SW_SHOWNORMAL); // Show the window to use
    return true; // return true, because a window was created good
}
Note: A messsage is a key press or a mouse click. If you have ANY questions at all let me know here or with a PM and I will try my best to help

:D

-Leet