I'm assuming that you're talking about having menu bar controls for things like particle size, frequency, whatever.

This will involve a few things. First you will have to define the menu layout that you want within an your project's .rc file (I'm not sure what this would look like in this case, and I would be interested in any resource which tells you how to make an .rc file for this kind of thing.)

Then you will need to add some kind of input handling code to your WinProc function to retrieve the activation of your menu controls and do something with the input (ie, make particles bigger, faster, etc.)

It should be something similar to this, at any rate.