BOOL CALLBACK DialogProc(HWND hWndDlg, UINT message, WPARAM wParam, LPARAM lParam) 
{ 
   switch(message)
   {
      case WM_INITDIALOG:
         break;

      case WM_COMMAND:
         switch(LOWORD(wParam))
         {
            case IDC_OK:
               EndDialog(hWndDlg, IDC_OK);
               break;
         }
         break;

      default:
         return false;
   }

   return true;
}

DialogBox(GetModuleHandle(NULL), MAKEINTRESOURCE(IDD_MY_DIALOG), hWnd, DialogProc);