There are a few things you can try, depending on how true you want to stay to your idea and how much work you are prepared to put into the effort:
Simple method
Use a normal group box, and then inside this make the first item be the checkbox. This is simple to accomplish, but you lose the goal of having the checkbox as the title.
Funky drawing method 1
Use a normal group box, then in the space over where you know the title is to go, place your checkbox. You will have to perform some tricky calculation to get it to fit in nicely and draw well without flicker.
Funky drawing method 2
Use some form of superclass or subclass/subclass on the group box. You can override the WM_PAINT handler to draw in only the frame for the group box. Place a normal checkbox in the place where you know the title is to go. This should work better because you will have more control over the drawing, but it is likely to be tricky to get right. In my experience, subclassing is lower risk to implement than superclassing.