Well,
Sephnroth wrote a brilliant tutorial for VS2003, I think that everything said is still valid for VS2008:
Menu's and Dialogs - DarkSDK Tutorial
(Note: The project template is for VS2003, I've opened it straight with VS2005... everything works, just replace 'DarkSDK' with 'DarkGDK' and 'LoopSDK' with 'LoopGDK')
Probably it should have come a sticky thread by the time it was published, uh
It can be more frightening to novice programmers, but I think that the rumour around that DGDK cannot use windows forms is not fair
DGDK
can use windows forms and menus