I have Triangles!
Ok, so I said I would document the journey from the start, and I did mean it.
I've just got to rendering triangles, using DX11.
This may not look like much, but at least it means that I've gotten Visual C++ 2010 express to work, and compile. The code is actually just the tutorial02 from the DX11 SDK, but I took the important parts of that code and put it into a default win32 application project, which is why I also have a menu. And then of course I played around a bit with the vertices.
As stated in the first post the idea is to support OpenGL and older DX versions, but I will start with DX11.
Here's a link to the tutorial