Francois,
That's because winemaker does not know that HelloWin needs to be linked with winmm.dll. So you need to edit the Makefile to add 'winmm' to 'hellowin_exe_DLLS'.
Worked!
SineWave.c
This is a bug in the sample. You need to apply the Fifth edition's Errata: http://www.charlespetzold.com/pw5/pw5faq.html
Added the EndPaint, recompiled, and reran. Message went away - worked as well.
Thanks. Ira