expand Visual C++ in the left pane
So far so good, this is what you've done previously.
Now, instead of selecting "Win32 Console Application" (which gives you a DOS-based program with main()), select "Win32 Project".
Give it a name and hit OK.
In the Win32 Application Wizard, select Windows Application in the Application Settings (should be on by default, but if for any reason it isn't, you can change it here), then click Finish.
This will create a barebones Windows application for you. Build and run it and you'll get a basic Windows program complete with resizable main window and a starter menu.