The win32 API has its origins on the 8088 processor and doing things a certain way results in saving 40 bytes of code or uses one less register or something.
I wrote a lot of toy gui apps using mingw and Petzold's book back in the day. Writing custom controls, drawing graphics and text, handling scrolling, hit testing etc was all a lot of fun.
I see in your app you're using strcpy, sprintf. Any kind of serious programming you should be using the length-checked variants. I'm surprised the compiler didn't spew.
You'll also find that the Win32 API has a lot of replacements for what's in the C standard library. If you really want to try and get the executable size down, see if you can write your app using only <Windows.h> and no cstdlib. Instead of memset() you've got ZeroMemory(), instead of memcpy() you've got CopyMemory().
At some point writing raw C code becomes painful. Still, I think doing your first few attempts in raw C is the best way to learn. Managing all the minutiae gives you a great sense of what's going on while you're learning.
If you want to play more with win32 gui programming, I'd have a look at the WTL (Windows Template Library). It's a C++ wrapper around the win32 API and makes it much easier to reason about what's going on.