I would suggest downloading a few examples with just maybe one or two basic controls in.

Also a basic example of a window with no controls to compare what had been added.

Then follow the flow of code reading the comments.

Another idea is to have a look at the NeHe tutorials, yeah it's opengl but the first few tutorials mainly show setting up opengl and the basic event stuff. you could get the hang of messaging using those.

Anyway good luck with whatever route you take.