Wrong section but messagebox:
Lets say you wanted to create it upon dll entry:
Use MSDN when learning to program and EXPLORE not leech off of old bases. Start with simple projects before evolving to hacking. Get the proper tools and read some ebooks. Videos CAN be helpful but its not advised, and most important: Stick with it!
BOOL __stdcall DllMain(HMODULE hDll, DWORD dwReason, LPVOID lpReserved)
MessageBox(0,"Message", "Title",MB_OK); //Below this you would create your CreateThread(0,0,0,0,0);