Well thanks to a friend for helping me understand the Message Loop and the basics of Win32 C/C++ Programming, I updated the code in this thread:

http://www.consolediscussions.com/fo...xample-t29132/

Here is the code, tested to compile on these compilers:

Code::Blocks
DevC++
Code:
#include <windows.h>

const char g_szClassName[] = "myWindowClass";

LRESULT CALLBACK WndProc (HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
{
    switch (msg)
    {
        case WM_CLOSE:
        DestroyWindow(hwnd);
        break;
        case WM_DESTROY:
        PostQuitMessage(0);
        break;
        case WM_KEYDOWN:
        switch (wParam)
        {
            case VK_LEFT:
            MessageBox (NULL, "Left", NULL, MB_OK);
            break;
            case VK_RIGHT:
            MessageBox (NULL, "Right", NULL, MB_OK);
            break;
            case VK_UP:
            MessageBox (NULL, "Up", NULL, MB_OK);
            break;
            case VK_DOWN:
            MessageBox (NULL, "Down", NULL, MB_OK);
            break;
            default:
            MessageBox (NULL, "Unknown Key Pressed", NULL, MB_OK);
            break;
        }
        default:
        return DefWindowProc (hwnd, msg, wParam, lParam);
        break;
    }
}

int WINAPI WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nCmdShow)
{
    WNDCLASSEX wc;
    HWND hwnd;
    MSG Msg;

    wc.cbSize = sizeof(WNDCLASSEX);
    wc.style = 0;
    wc.lpfnWndProc = WndProc;
    wc.cbClsExtra = 0;
    wc.cbWndExtra = 0;
    wc.hInstance = hInstance;
    wc.hIcon = LoadIcon (NULL, IDI_APPLICATION);
    wc.hCursor = LoadCursor (NULL, IDC_ARROW);
    wc.hbrBackground = (HBRUSH) (COLOR_WINDOW+1);
    wc.lpszMenuName = NULL;
    wc.lpszClassName = g_szClassName;
    wc.hIconSm = LoadIcon (NULL, IDI_APPLICATION);

    if (!RegisterClassEx(&wc))
    {
        MessageBox (NULL, "Windows Registration Failed", "Error", MB_ICONEXCLAMATION | MB_OK);
    }

    hwnd = CreateWindowEx(WS_EX_CLIENTEDGE, g_szClassName, "Win32 Practice", WS_OVERLAPPEDWINDOW, CW_USEDEFAULT, CW_USEDEFAULT, 2000, 2000, NULL, NULL, hInstance, NULL);

    if (hwnd == NULL)
    {
        MessageBox (NULL, "Windows Creation Failed", "Error", MB_ICONEXCLAMATION | MB_OK);
    }

    ShowWindow (hwnd, nCmdShow);
    while (GetMessage (&Msg, NULL, 0, 0) > 0)
    {
        TranslateMessage (&Msg);
        DispatchMessage (&Msg);
    }
    return Msg.wParam;
}
Here is the .exe:

Download main.exe from Sendspace.com - send big files the easy way
^_^