If you are using lcc-win32 all you have to do is create a new project. When given the option select dialog application and ask for a skeleton app to be created. Then you will get the code automatically entered and the resource for a dialog box.
All you have to do is compile the project and run it. Next, go to the resource editor and you may add buttons and controls to the dialog box. The manual has more information if you need it.
- Sean
