You are asking how to create a Windows EXE file which opens like a Window.
1. This is done in C++ using Windows API. You create a window typically using CreateWindowEx function.
2. There are other GUI frameworks to be used with C++, including Microsoft's own MFC and .net. These simplify creating Windows application. There are third party frameworks and open source frameworks like GTK+ which also can create window GUI based application.
For the first way, you need a good C++ compiler supporting Win32API like MS VC++ Express or GCC.
For the second, requirements vary depending on the frameworks.
When you use Win32 API, you first register application class using RegisterClassEx, then create the window using CreateWindowEx. Show this window using ShowWindow. And finally start the message loop so you can process the message being sent to he application. The messages are processed by a user defined callback function.
For more information:
Win32API : http://msdn.microsoft.com/en-us/library/aa...28VS.85%29.aspx
Hello World in C++ : http://www.codepedia.com/1/Win32APIHelloWorld
Win32API Tute: http://winprog.org/tutorial/
GTK+ : http://www.gtk.org/