4Kb is the smallest 'valid' Windows exe.
To make things small, you need to turn on optimise for size, turn off link time code generation, and turn off default libraries in the compiler and linker.
main() is the entry point for Win32 Console apps
WinMain() is the entry point for Win32 windowed apps.
If you're not using the C runtime (ie. no default libraries) then the entry points are
mainCRTStartup()
WinMainCRTStartup()
If you're coding C then make sure your files end with .c
If you're coding C++ then make sure your files end with .cpp
If you want DirectX then you need to go into the linker settings and add to the additional libraries.
Usually you need d3d9.lib.
Other ones might be opengl32.lib winmm.lib dxguid.lib d3dx9.lib depending what you want.
Jim