Здравствуйте, titeha, Вы писали:

Исправленный код. Обрати внимание на выделенное жирным. В проекте должны быть установлены макросы UNICODE и _UNICODE

#include "windows.h"
#include "tchar.h"
#include "resource.h"

HINSTANCE hInst;
HWND MyProjectWnd;

LRESULT CALLBACK WndProc(HWND, UINT, WPARAM, LPARAM);

int APIENTRY _tWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, 
                       LPTSTR lpCmdLine, int nCmdShow)
{
 ATOM MyProjectWndClass;
 WNDCLASSEX wc;
 MSG msg;

 hInst = hInstance;

 wc.cbSize = sizeof(WNDCLASSEX);
 wc.style = CS_HREDRAW | CS_VREDRAW;
 wc.lpfnWndProc = WndProc;
 wc.cbClsExtra = 0;
 wc.cbWndExtra = 0;
 wc.hIcon = LoadIcon(hInstance, MAKEINTRESOURCE(IDI_ICON1));
 wc.hCursor = LoadCursor(NULL, MAKEINTRESOURCE(IDC_ARROW));
 wc.hbrBackground = (HBRUSH)1;
 wc.lpszMenuName = NULL;
 wc.lpszClassName = _TEXT("MyProjectWndClass");
 wc.hIconSm = wc.hIcon;
 wc.hInstance = hInstance; // это я добавил 

 if (!(MyProjectWndClass = RegisterClassEx(&wc)))
  MessageBox(NULL, (_TEXT("Ошибка запуска программы!")), 
              (_TEXT("Ошибка")), MB_OK | MB_ICONERROR);

 MyProjectWnd = CreateWindowEx(0, (LPCWSTR)MAKELONG(MyProjectWndClass, 0),
                              (_TEXT("Этот проект")),
                              WS_OVERLAPPEDWINDOW, CW_USEDEFAULT, 
                              CW_USEDEFAULT, CW_USEDEFAULT,    CW_USEDEFAULT, 
                              NULL, NULL, hInstance, NULL);
 if (!MyProjectWnd)// return EXIT_FAILURE;
  {
  DWORD T = GetLastError();
  return EXIT_FAILURE;
  }

 ShowWindow(MyProjectWnd, SW_SHOWNORMAL);

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

 return 0;
}

LRESULT CALLBACK WndProc(HWND hWnd, UINT message, WPARAM wParam, LPARAM lParam)
{
 switch    (message)
 {
  case WM_CLOSE:
  {
   DestroyWindow(hWnd);
   break;
  }
  case WM_DESTROY:
  {
   PostQuitMessage(EXIT_SUCCESS);
   break;
  }
  /*default:
   return DefWindowProc(hWnd, message, wParam, lParam);
   break;*/
 }

 return DefWindowProc(hWnd, message, wParam, lParam);
}