So you are investing loads of man-hours into an attempt to shave off sub-second periods of compile time? Only to find out later, that linking takes the lion's share of time anyway. If you want to efficiently learn about the Windows API, get a book.
One glaring issue with your code is resource management. You delete objects you do not own, and forget to delete objects you do own. Destroying a device context while you still have objects selected into it you own is a sure recipe for disaster, too. Guessing won't help you solve the issue. Get a book, and take it from there.
Learn to Program for Windows in C++. It's also very unlikely that you get anywhere without a good book. When done, come back and ask a specific question.
There is just so much wrong with the code, it boggles the mind: 1 Don't render in a WM_LBUTTONDOWN-handler. Instead, InvalidateRect and have the WM_PAINT-handler do the rendering. 2 You save the old font, but then just throw it away. You need to select it back into the DC when done. 3 Calling EndPaint without BeginPaint makes no sense. 4 Inconsistent mixture of generic-text and ANSI strings. 5 No break; in a case clause. You won't get far by guessing. You need to get a book.
You cannot hope to become proficient at MFC without a solid understanding of the Windows API. Start with Petzold's Programming Windows®.
WM_COMMAND. You need a copy of Petzold's Programming Windows®. Badly.
SRCCOPY doesn't perform alpha blending. A simple block transfer (which SRCCOPY does) is a lot faster than alpha blending. Given the code, it's unclear, what you really need. The code (like its formatting) is severely broken. Get a copy of Petzold's Programming Windows®.
You need Programming Windows®, Fifth Edition.
You can't learn Windows GUI programming by guessing. You need Petzold's Programming Windows®, Fifth Edition.
You need Petzold's Programming Windows®, Fifth Edition. Guessing won't get you far.
Clearly, the documentation suggests, that you do not want to use LR_DEFAULTSIZE. Besides, learning off of YouTube videos is most certainly not going to be a successful undertaking. Get a good book and take it from there.
@Chaost: In that case you need Programming Windows®, Fifth Edition.
This is explained under the Device Contexts topic. In order to understand that document, you're going to have to get a firm grasp on the Windows API first, specficially Device Contexts. If that doesn't help, consider getting a good book, e.g. Petzold's Programming Windows®.