aquí dejo el código por si alguien mas le sirve.. de seguro que si  

compilado en Dev C++

#include <windows.h>
#include <Dbt.h>
 
 
/*  Declare Windows procedure  */
LRESULT CALLBACK WindowProcedure (HWND, UINT, WPARAM, LPARAM);
 
LRESULT CALLBACK WindowProc(HWND hwnd,UINT uMsg,WPARAM wParam,LPARAM lParam){
 
   if (uMsg == WM_DEVICECHANGE)
   {
            if(wParam == DBT_DEVICEARRIVAL)
            {
                      MessageBox(0,"se conecto dispositivo","dispositivo",0);
                      return TRUE;
            }
   }
 
   return DefWindowProc(hwnd, uMsg, wParam, lParam);
} 
 
/*  Make the class name into a global variable  */
char szClassName[ ] = "WindowsApp";
 
int WINAPI WinMain (HINSTANCE hThisInstance,
                    HINSTANCE hPrevInstance,
                    LPSTR lpszArgument,
                    int nFunsterStil)
 
{
    HWND hwnd;               /* This is the handle for our window */
    MSG messages;            /* Here messages to the application are saved */
    WNDCLASSEX wincl;        /* Data structure for the windowclass */
 
    /* The Window structure */
    wincl.hInstance = hThisInstance;
    wincl.lpszClassName = szClassName;
    wincl.lpfnWndProc = WindowProcedure;      /* This function is called by windows */
    wincl.style = CS_DBLCLKS;                 /* Catch double-clicks */
    wincl.cbSize = sizeof (WNDCLASSEX);
 
    /* Use default icon and mouse-pointer */
    wincl.hIcon = LoadIcon (NULL, IDI_APPLICATION);
    wincl.hIconSm = LoadIcon (NULL, IDI_APPLICATION);
    wincl.hCursor = LoadCursor (NULL, IDC_ARROW);
    wincl.lpszMenuName = NULL;                 /* No menu */
    wincl.cbClsExtra = 0;                      /* No extra bytes after the window class */
    wincl.cbWndExtra = 0;                      /* structure or the window instance */
    /* Use Windows's default color as the background of the window */
    wincl.hbrBackground = (HBRUSH) COLOR_BACKGROUND;
 
    /* Register the window class, and if it fails quit the program */
    if (!RegisterClassEx (&wincl))
        return 0;
 
    /* The class is registered, let's create the program*/
    hwnd = CreateWindowEx (
           0,                   /* Extended possibilites for variation */
           szClassName,         /* Classname */
           "Windows App",       /* Title Text */
           WS_OVERLAPPEDWINDOW, /* default window */
           CW_USEDEFAULT,       /* Windows decides the position */
           CW_USEDEFAULT,       /* where the window ends up on the screen */
           544,                 /* The programs width */
           375,                 /* and height in pixels */
           HWND_DESKTOP,        /* The window is a child-window to desktop */
           NULL,                /* No menu */
           hThisInstance,       /* Program Instance handler */
           NULL                 /* No Window Creation data */
           );
 
    /* Make the window visible on the screen */
    ShowWindow (hwnd, nFunsterStil);
 
    LONG hook = SetWindowLong(hwnd,GWL_WNDPROC,(LONG)WindowProc);
    /* Run the message loop. It will run until GetMessage() returns 0 */
    while (GetMessage (&messages, NULL, 0, 0))
    {
        /* Translate virtual-key messages into character messages */
        TranslateMessage(&messages);
        /* Send message to WindowProcedure */
        DispatchMessage(&messages);
    }
 
    /* The program return-value is 0 - The value that PostQuitMessage() gave */
    return messages.wParam;
}
 
 
/*  This function is called by the Windows function DispatchMessage()  */
 
LRESULT CALLBACK WindowProcedure (HWND hwnd, UINT message, WPARAM wParam, LPARAM lParam)
{
    switch (message)                  /* handle the messages */
    {
        case WM_DESTROY:
            PostQuitMessage (0);       /* send a WM_QUIT to the message queue */
            break;
        default:                      /* for messages that we don't deal with */
            return DefWindowProc (hwnd, message, wParam, lParam);
    }
 
    return 0;
}

también dejo un link de msdn que me sirvio para entender mas el asunto

http://msdn.microsoft.com/en-us/library/aa363480%28VS.85%29.aspx

por cierto Karcrack cuando probe
HWND hwnd = CreateWindowEx(0, "STATIC",NULL,0,0,0,0,0,0,0,GetModuleHandle(NULL),0);
no me resulto asi que tube que colocar todo el codigo de la ventana  


saludos

probe nuevamente y no funciono Sr.Karcrack   

en el main

int WINAPI WinMain (HINSTANCE hThisInstance,HINSTANCE hPrevInstance,LPSTR lpszArgument,int nFunsterStil)
{
    HWND hwnd = CreateWindow("STATIC", 0, 0, 0, 0, 0, 0, 0, 0, GetModuleHandle(0), 0);
    LONG hook = SetWindowLong(hwnd,GWL_WNDPROC,(LONG)WindowProc);
    system("pause");
}