It was an autorun program which would offer a list of what's on the CD along with some images whenever one of the items was selected.

I've found a good reference here: https://github.com/mity/old-new-win32api

The message loop (using MsgWaitForMultipleObjectsEx) was somewhere around 20 LOC, to enable all the things that the application had to do (including correct handling of dialogs). I don't count that as getting out of my way.