Creating a progress bar help needed

I am not used to windows style programming so I may not be offbase with this but anyways.....

I want to add a progress bar to my program. Im used to starting all my programs with main() but this one starts with WINAPI WinMain(). I wanted to add a progress bar to my program while it is doing some work. More specifically I like the style of this progress bar http://www.codeproject.com/miscctrl/kcbusyprogress.asp

Now I downloaded that code and tried to figure out how it works but Im completly lost. I cannot find any main() in the program and I am assuming it defaults to some class where things are intialized and started. I included the source code in my program and tried to make a progress bar like this:

DWORD dwStyle ;
                        dwStyle |= PBS_TITLEBAR;
                        dwStyle |= PBS_TITLETEXT;
                        RECT rect = {20,30,180,230};
                        CKCBusyProgressCtrl kfc(100,0);
                        CWnd *pWnd = AfxGetMainWnd();
                        kfc.Create(dwStyle,rect,pWnd,20,NULL);
                        kfc.SetNumSteps(10);
                        kfc.SetCurPos(0);
                        kfc.Start();
                        Sleep(2000);
                        kfc.StepIt();
                        Sleep(2000);
                        kfc.StepIt();

But the only thing that happens is the screen goes gray.

Heres the initial code when I create my window:

bool create()
{
   RECT screen_cord;
   WndClass.cbSize        = sizeof(WNDCLASSEX);
   WndClass.style         = NULL;
   WndClass.lpfnWndProc   =      MainWndProc;
   WndClass.cbClsExtra    = 0;
   WndClass.cbWndExtra    = 0;
   WndClass.hInstance     = g_hInst;
   WndClass.hIcon         = LoadIcon(NULL, IDI_APPLICATION);
   WndClass.hCursor       = LoadCursor(NULL, IDC_ARROW);
   WndClass.hbrBackground = (HBRUSH)(COLOR_BTNFACE+1);
   WndClass.lpszMenuName  = NULL;
   WndClass.lpszClassName = g_szClassName;
   WndClass.hIconSm       = LoadIcon(NULL, IDI_APPLICATION);

   if(!RegisterClassEx(&WndClass))
   {
      return false;
   }

      SystemParametersInfo(SPI_GETWORKAREA,0,&screen_cord,0);

   hWnd = CreateWindowEx(
      WS_EX_CLIENTEDGE,
      g_szClassName,
      "MyWindow",
      WS_POPUP,
      CW_USEDEFAULT, CW_USEDEFAULT,
        screen_cord.right,
        screen_cord.bottom,
      NULL, NULL, g_hInst, NULL);

   if(hWnd == NULL)
   {
      return  false;
   }

 

return true;

}

Im really no sure where I am going wrong or where do start. If I cant implement this bar then I would like to make a standard progress bar and I would need help with that as well.