Just a technicality, but you do have a window, and you do have a message loop, just not in your code.
The call to MessageBox()
creates a window (of class #32770) and runs a local message loop, not returning to your code till the message loop drops out, presumably when WM_NCDESTROY
is sent. I think it's the same message loop that runs in response to DialogBox()
.
But you could substitute your call to MessageBox()
with anything else that really doesn't create a message loop, and you'll still be fine. Windows doesn't care if you have a message loop, although some functionality (primarily UI related) is difficult or impossible to use without it. In fact, you don't have to link to user32 at all, and some apps that have no user interface don't.
Now if you create a window and don't process messages for it in some way, Windows XP and up will replace your window with a "ghost" window that has a white client area and Task Manager will tell the user that the application is not responding.
Although it seems so at first, the message loop is not magic or a strictly required part of Windows boilerplate. It is highly ingrained as a standard in most Windows applications, though, because it's the best way to handle the dispatching of window messages. The "event-driven" nature of most Windows applications makes us forget sometimes that Windows applications were originally designed to be single-threaded, and in this model, it is code running within that single thread, not some unseen force within the operating system, that must make every function call within our code. The addition of multithreading changed that somewhat, but the basic model still remains the same.
EDIT
A note about message queues:
As is mentioned elsewhere, a message queue is only created (and on a per-thread basis) when a window is created by that thread. Your example program, upon creating a message box, does create a message queue. But this queue need not be empty when your application exits. This queue is just a memory structure. It's a block of memory that can hold a certain number of message objects (specifying destination hWnd, message id, wParam, lParam, system time when message was posted, mouse position when message was posted, and some data that allows the derivation of keyboard and mouse button state when the message was posted), along with pointers to the head and tail of the queue (I assume it's a circular queue). When the application exits, this memory, like all memory belonging to the process, is summarily freed.
There are, of course, other things that must be cleaned up outside your process. The OS must keep a table of all existing windows, for example, along with the thread and process that created them. Of course, these are all cleaned up automatically as well.