Bleibt mir wohl nix anderes übrig als die Lösung mit der verborgenen Titelleiste.

#include <windows.h>

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

int WINAPI WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance,
PSTR szCmdLine, int iCmdShow)
{
MSG msg;
HWND hWnd;
WNDCLASS wc;

const char szAppName[] = "Symenu buttons";

wc.cbClsExtra = 0;
wc.cbWndExtra = 0;
wc.hbrBackground = (HBRUSH) GetStockObject(LTGRAY_BRUSH);
wc.hCursor = LoadCursor(NULL, IDC_ARROW);
wc.hIcon = LoadIcon(NULL, IDI_APPLICATION);
wc.hInstance = hInstance;
wc.lpfnWndProc = WndProc;
wc.lpszClassName = szAppName;
wc.lpszMenuName = NULL;
wc.style = CS_HREDRAW | CS_VREDRAW;

RegisterClass(&wc);

hWnd = CreateWindow( szAppName,
szAppName,
WS_OVERLAPPEDWINDOW,
CW_USEDEFAULT,
CW_USEDEFAULT,
300,
60,
NULL,
NULL,
hInstance,
NULL);

ShowWindow(hWnd, iCmdShow);
UpdateWindow(hWnd);

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

return msg.wParam;
}

LRESULT CALLBACK WndProc(HWND hWnd, UINT message, WPARAM wParam, LPARAM lParam)
{
static HWND hButton;

switch (message)
{
case WM_CREATE:
{
hButton = CreateWindow( "button",
"Beenden",
WS_CHILD | WS_VISIBLE,
0, 0, 0, 0,
hWnd,
NULL,
((LPCREATESTRUCT) lParam) -> hInstance,
NULL);
return 0;
}
case WM_SIZE:
{
MoveWindow(hButton, LOWORD(lParam) / 2 - 80, HIWORD(lParam) - 30,
160, 22, TRUE);
return 0;
}

case WM_COMMAND:
{
if (lParam == (LPARAM)hButton)
{
if (HIWORD(wParam) == BN_CLICKED)
SendMessage(hWnd, WM_CLOSE, 0, 0);
}
return 0;
}


case WM_SYSCOMMAND :
{
if(wParam == SC_CLOSE)
{
MessageBox(hWnd,"Hey,Someone closes me !!","What are you doing ??",MB_OK);
return 0;
}
else
return DefWindowProc(hWnd, message, wParam, lParam);
}




case WM_DESTROY:
{
PostQuitMessage(0);
return 0;
}
}
return DefWindowProc(hWnd, message, wParam, lParam);
}

EXPORT int CALLBACK GetSysmenuState(HWND hWnd) {

MSG msg;
GetMessage(&msg,hWnd,0,0); /* Wir zapfen die MSG-Queue an */

if(msg.message = WM_SYSCOMMAND){ /* Wir nehmen nur SYSCOMMANDs */
if (msg.wParam = SC_CLOSE) /* Wir kucken ob es SC_CLOSE ist */
return 1;
}
else /* und geben den rest zurück */
CallWindowProc((WNDPROC) GetWindowLong(hWnd,GWL_WNDPROC),hWnd,msg.message,msg.wParam,msg.lParam);
return 0;
}

Unlike GetMessage, the PeekMessage function does not wait for a message to be posted before returning.