So how is it done?
I've tried this only to get a messagebox stating that I don't have Direct X 8. Maybe someone could post a simple sample. Also, I'm using the Borland 5.5 compiler.
I've taken the sample posted by Justin_W and tried modifying it.
// Initialize Allegro.
// Set the resolution to 640 by 480 with SAFE autodetection.
set_gfx_mode(GFX_GDI, 640, 480, 0, 0);
// Installing the keyboard handler.
// Printing text to the screen.
textout(screen, font, "Hello World!", 1, 1, 10);
textout(screen, font, "Press ESCape to quit.", 1, 12, 11);
// Looping until the ESCape key is pressed.
poll_keyboard(); // This shouldn't be necessary in Windows.
// Exit program.
// Some Allegro magic to deal with WinMain().