I don't much care for the tutorial you were looking at. If you are serious about learning windows, a good place to start is with Charles Petzold's Programming Windows 5th Edition.

In the meantime, I banged out a sample that works based on your code. It is compiled for UNICODE so you will have to set that in your project options.

Code:
#include <windows.h>

const WCHAR* App_Title = L"Skoumas and the brains at the kangela";
const UINT idButton = 101;

LRESULT WINAPI MyDlgProc(HWND hwnd, UINT message, WPARAM wParam, LPARAM lParam) 
{
    switch (message)
    {
    case WM_CLOSE:
        {
            int apantisi;
            apantisi = MessageBox(NULL, L"Are you Sure?",App_Title,1);

            if (apantisi==1)  
            {
                PostQuitMessage(0);
            }
        }
        break;
        
    case WM_COMMAND:
        if (LOWORD(wParam) == idButton && HIWORD(wParam) == BN_CLICKED)
        {
		    int apantisi;
		    apantisi = MessageBox(NULL, L"Are you Sure?",App_Title,1);

		    if (apantisi==1)
            {
		        PostQuitMessage(0);
            }
        }
        break;

    default:
        break;

    }
    return 0;
}

int APIENTRY WinMain(HINSTANCE, HINSTANCE, LPSTR, int)
{
    HWND hDlg = CreateWindowEx(0, WC_DIALOG, App_Title, WS_OVERLAPPEDWINDOW | WS_VISIBLE,
        600, 100, 400, 200, NULL, NULL, NULL, NULL);

    if (hDlg)
    {
        SetWindowLong(hDlg,	DWL_DLGPROC, (long) MyDlgProc);
        HWND hwndBtn = CreateWindowEx(0, L"BUTTON", L"My Button", BS_PUSHBUTTON | WS_VISIBLE | WS_CHILD,
                       50, 50, 100, 25, hDlg, (HMENU)idButton, NULL, NULL);
        if (hwndBtn)
        {
            ShowWindow(hDlg, SW_SHOWNORMAL);
            UpdateWindow(hDlg);

            MSG msg;
            while(GetMessage(&msg,NULL,0,0)) 
            {
                TranslateMessage(&msg);
                DispatchMessage(&msg); 
            }
        }
    }
    return 0;
}