You'll want to use ATL with WTL. WTL contains some samples to show you how to use it, but it's not terribly well-documented; basically you can create a dialog resource and use the WTL::CDialogImpl
class, but getting it right will take some time.
None of the Visual C++ project types are completely suitable; you'll have to modify them or find an extension online that adds new project types for WTL (they exist but aren't too fantastic).
You'll probably want to use static linking to avoid depending on external C++ DLLs.
I recommend using Visual Studio 2008 if you have it.