Now I see it: I creating a child window ...
MSDN: http://msdn.microsoft.com/en-us/library/windows/desktop/ms632600(v=vs.85).aspx
WS_CHILD prevents CS_DROPSHADOW If you're hoping to make a temporary popup control in your window and want to use CS_DROPSHADOW to reinforce the fleeting nature of the popup, you can't use it with WS_CHILD -- it just ignores CS_DROPSHADOW. You'll need to make your control be WS_POPUP and then position it where you want it when it opens.
Nevertheless: Use rather HWND PageWnd = CreateWindowEx instead of HWND CreateWindow because of WNDCLASSEX wcex;
Its simple: WNDCLASS goes with CreateWindow, WNDCLASSEX goes with CreateWindowEx.
From MSDN: “The CreateWindowEx function creates an overlapped, pop-up, or child window with an extended window style; otherwise, this function is identical to the CreateWindow function.”