Part 1: Warm-ups
http://blogs.msdn.com/oldnewthing/archive/2005/03/29/403298.aspx

Part 2: Creating the frame window
http://blogs.msdn.com/oldnewthing/archive/2005/03/30/403711.aspx

Part 3: Creating the controls
http://blogs.msdn.com/oldnewthing/archive/2005/03/31/404108.aspx

Part 4: The dialog loop
http://blogs.msdn.com/oldnewthing/archive/2005/04/01/404531.aspx

Part 5: Converting a non-modal dialog box to modal
http://blogs.msdn.com/oldnewthing/archive/2005/04/04/405207.aspx

Part 6: Subtleties in message loops
http://blogs.msdn.com/oldnewthing/archive/2005/04/05/405518.aspx

Part 7: More subtleties in message loops
http://blogs.msdn.com/oldnewthing/archive/2005/04/06/405827.aspx

Part 8: Custom navigation in dialog boxes
http://blogs.msdn.com/oldnewthing/archive/2005/04/07/406012.aspx

Part 9: Custom accelerators in dialog boxes
http://blogs.msdn.com/oldnewthing/archive/2005/04/08/406509.aspx