Code:

#include <windows.h>
#include "resource.h"

LRESULT CALLBACK WndProc(HWND, UINT, WPARAM, LPARAM);
DWORD CALLBACK ThreadProc(LPVOID lpParameter);

int APIENTRY WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nCmdShow)
{
    MSG msg;

    DialogBoxParam(hInstance, (LPCTSTR)IDD_MAIN, NULL, (DLGPROC)WndProc, 0);

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

    return msg.wParam;
}

LRESULT CALLBACK WndProc(HWND hWnd, UINT message, WPARAM wParam, LPARAM lParam)
{
    HANDLE hThread;

    switch(message)
    {
        case WM_INITDIALOG:
                return TRUE;
                
        case WM_COMMAND:
            if(LOWORD(wParam)==IDC_START)
            {
                hThread = CreateThread(NULL, 0, (LPTHREAD_START_ROUTINE)ThreadProc(hWnd), NULL, NORMAL_PRIORITY_CLASS, NULL);
//                WaitForSingleObject(hThread, INFINITE);  nemama pojma da li mi je ovo potrebno.. mislim da nije ali sam ipak probao
                CloseHandle(hThread);
                return TRUE;
            }
            else if(LOWORD(wParam)==IDC_EXIT)
            {
                EndDialog(hWnd, 0);
                return TRUE;
            }

        case WM_DESTROY:
            PostQuitMessage(0);
            break;
            
        default:
            return DefWindowProc(hWnd, message, wParam, lParam);
    }
    return FALSE;
}

DWORD CALLBACK ThreadProc(LPVOID lpParameter)
{
    char szDirPath[]="c:\\MPC\\";
//    DWORD dExitCode;

    if(!CreateDirectory(szDirPath, NULL))
    {
        SetDlgItemText(lpParameter, IDC_STATUS, "Couldn't create new directory.");
//        GetExitCodeThread(hThread, &dExitCode);
//        TerminateThread(hThread, dExitCode);
        return; //ako je ovo return TRUE program pukne
    }

    return TRUE; //i ovde puca, ako je samo return onda program izadje ???
}