You can pretty much ignore everything in the actual C source files of appwiz.c except the CPlApplet function. CPL_STARTWPARMSW is unimportant, and all CPL_DBLCLK does is create a window.
The only difference from the layout of a normal Windows program is that a control panel applet does not include its own message loop. The caller takes care of that.
See also http://msdn.microsoft.com/en-us/library/bb776392%28VS.85%29.aspx