Direct X and OpenGL rendering systems don''t get along well with eachother. If you try to create a DirectX window and then create a OpenGL window consider yourself lucky if your system doesn''t blue screen.
Why would you not want to use win32 to change the display mode ... I spend the entire afternoon coding, and now i have this really neat class that perfectly initializes a full screen OpenGL window!! Works great, nothing wrong with it at all !