OK, some basic info.
One, you're not using MFC, you're using plain Win32 API. There's nothing wrong with that - in fact, since you also seem to be using MinGW (it's a good idea to specify your compiler if you say anything about it, like mentioning a switch), you cannot use MFC, as I'm pretty sure it requires VC++. (And anyway, it only comes bundled with that.)
Two, Windows NT is the predecessor of Windows 2000, which was followed in turn by Windows XP. Thus, Windows XP, any service pack level, is more up to date than Windows NT 4.0 SP3.
Since MinGW does not, I think, use the official Platform SDK, you'll probably have to set _WIN32_WINNT to 0x0500 manually.
#define _WIN32_WINNT 0x0500