Why can't my WndProc be in a class?

C++ treats member functions and free functions as different - member functions need to have access to a this pointer, and typically that's passed in as a hidden first parameter. Consequently, an n-argument member function would be most similar to an (n+1)-argument free function, which means that code trying to call your WndProc would pass in the wrong number of arguments.

You can, however, declare WndProc as a static member function, which eliminates the this pointer. This code should work:

class Simple
{
public:
    static LRESULT CALLBACK WndProc(HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
    {
         ...
    }
};

int WINAPI WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR commandLine, int cmdShow)
{
    Simple *simple = new Simple();
    ...

    wndClass.lpfnWndProc = simple->WndProc;
    ...
 }

Of course, this means you can't directly access the fields of the class. You could get around this by embedding a pointer to the class into the extra bytes reserved for each window instance, perhaps by using SetWindowLongPtr. Once you've done that, you can recover the receiver object pointer by writing something like this:

class Simple
{
public:
    static LRESULT CALLBACK WndProc(HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
    {
         Simple* me = reinterpret_cast<Simple*>(GetWindowLongPtr(hwnd, GWLP_USERDATA));
         if (me) return me->realWndProc(hwnd, msg, wParam, lParam);
         return DefWindowProc(hwnd, msg, wParam, lParam);
    }
private:
    LRESULT CALLBACK realWndProc(HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
    {
         // Yay!  I'm a member function!
    }
};

Hope this helps!