I had the same problem. I changed my depth buffer from 16 to 32 bits.
Code:
static PIXELFORMATDESCRIPTOR pfd= // pfd Tells Windows How We Want Things To Be
{
sizeof(PIXELFORMATDESCRIPTOR), // Size Of This Pixel Format Descriptor
1, // Version Number
PFD_DRAW_TO_WINDOW | // Format Must Support Window
PFD_SUPPORT_OPENGL | // Format Must Support OpenGL
PFD_DOUBLEBUFFER, // Must Support Double Buffering
PFD_TYPE_RGBA, // Request An RGBA Format
bits, // Select Our Color Depth
0, 0, 0, 0, 0, 0, // Color Bits Ignored
0, // No Alpha Buffer
0, // Shift Bit Ignored
0, // No Accumulation Buffer
0, 0, 0, 0, // Accumulation Bits Ignored
32, //Depth buffer
0, // No Stencil Buffer
0, // No Auxiliary Buffer
PFD_MAIN_PLANE, // Main Drawing Layer
0, // Reserved
0, 0, 0 // Layer Masks Ignored
};