I can see you're really new to this... read some here: WinProg.net it's nice, but not enough, so you better buy a book... also you should get the MSDN, check microsoft.com
BOOL CALLBACK MyDlg(HWND hDlg, UINT Msg, WPARAM wParam, LPARAM lParam)
or return(TRUE); it's the same.
here you init the dialog box, and it will appear .
this spot also could be used to send things to the controls,
place static controls... etc.
switch(LOWORD(wParam)) // the control's ID is been passed only in the low order (LOWORD) of the wParam!
case ID_OK: // control's ID (ID_OK) - like a button.
MessageBox (hDlg, "Message" , "!!!", 0);
EndDialog(hDlg, ID_OK); // makes the Dialog to close.
return(0); // or return(FALSE);