So what about CGame? From what I've read, CStateMachine is a class belonging to CGame that manages one or more CStates. But here in your article it says that CGame is provided by "the engine". The engine I make or one that you've made? What is part of CGame? Also, what is the significance of returning LSENEW? Do I have to understand all your engine's definitions in order to understand this tutorial? Can you put it in plainer words?
Is the reason you have __stdcall in order to manually have the next line of code be called in one of the separate states?