All your doing right now is telling the window to create the scroll bar(s) but the window doesn't know what to do so you'll need to handle the WM_VSCROLL message to suite your needs.

To keep the scrollbar from moving back to 0,

Code:
case WM_VSCROLL:
{
	static int scrollPos = HIWORD(wParam);
	if (LOWORD(wParam) == SB_THUMBPOSITION)
	{
		scrollPos = HIWORD(wParam);
	}

	SetScrollPos(hWnd, SB_VERT, scrollPos, TRUE);
	return 0;
}break;
You just need to handle some sub messages within WM_VSCROLL, SB_THUMBPOSITION simply saves the new position in the hi order word of the wParam, after the user finishes dragging.