Windows Message Handling (message pump) with Console
Couldn't get away from using the Win32 App (that uses WinMain()) to get this working.

• Inside WinMain - CreateWindow with default style and options but don't ShowWindow. Register your WNDCLASS and WndProc using RegisterClass()
  
• AllocConsole() - this is the key. This opens a console window and attaches it to the app
• GetStdHandle() - Get the console handle for use in WriteConsole() and ReadConsole()
• Run the usual GetMessage - TranslateMessage - DispatchMessage loop in WinMain (probably the last lines of code)
• Messages (such as WM_CREATE, WM_CLOSE, WM_DEVICECHANGE, etc.) are handled in the WndProc CALLBACK.
• Console events (CTRL+C, Close, etc.) needs to be handled in ConsoleHandler() that is registered via SetConsoleCtrlHandler() call.
• Since you don't see the "window", the close/exit event will be received in the console and it is in the ConsoleHandler() that one should generate (using PostMessage)the WM_CLOSE message for the window (which is then handled in the WndProc()).
• Just like malloc, the AllocConsole() has a corresponding FreeConsole(). It's logical place is in the WM_CLOSE message handler.
  

See also:

• Console Event Handling
• Writing to and read from the console - From a GUI application