DGDK.NET allows support for Winforms applications, and there is a sample that demonstrates this procedure.
For the C++ version, this is slightly more complicated since a dialog resource needs to be used as the basis for your application. Thing is, creating a normal MFC or Win32 application that exposes a WinMain function, will cause linker symbol confliction. By creating your own window and window procedure, you can then use the dbOverrideHWnd and dbSetDisplayMode functions in that order, specifying a window's handle to render the DGDK window, has the desired effect.
[EDIT] The window procedure is optional
Paul.