winapi - Simple Microsoft example of a C++ window does not compile

I've read the Microsoft page on how to create a simple window in C++. Here is the code:

#ifndef UNICODE
#define UNICODE
#endif 

#include 


LRESULT CALLBACK WindowProc(HWND hwnd, UINT uMsg, WPARAM wParam, LPARAM lParam);

int WINAPI wWinMain(HINSTANCE hInstance, HINSTANCE, PWSTR pCmdLine, int nCmdShow) {
  // Register the window class.
  const wchar_t CLASS_NAME[]  = L"Sample Window Class";

  WNDCLASS wc = { };

  wc.lpfnWndProc   = WindowProc;

  wc.hInstance     = hInstance;
  wc.lpszClassName = CLASS_NAME;

  RegisterClass(&wc);

  // Create the window.

  HWND hwnd = CreateWindowEx(
    0,                              // Optional window styles.
    CLASS_NAME,                     // Window class

    L"Learn to Program Windows",    // Window text
    WS_OVERLAPPEDWINDOW,            // Window style

    // Size and position
    CW_USEDEFAULT, CW_USEDEFAULT, CW_USEDEFAULT, CW_USEDEFAULT,

    NULL,       // Parent window    
    NULL,       // Menu
    hInstance,  // Instance handle
    NULL        // Additional application data

  );

  if (hwnd == NULL) {
    return 0;
  }

  ShowWindow(hwnd, nCmdShow);

  // Run the message loop.


  MSG msg = {};
  while (GetMessage(&msg, NULL, 0, 0)) {
    TranslateMessage(&msg);
    DispatchMessage(&msg);
  }

  return 0;
}

LRESULT CALLBACK WindowProc(HWND hwnd, UINT uMsg, WPARAM wParam, LPARAM lParam) {

  switch (uMsg) {
    case WM_DESTROY:
      PostQuitMessage(0);
      return 0;

    case WM_PAINT: {
      PAINTSTRUCT ps;
      HDC hdc = BeginPaint(hwnd, &ps);

      FillRect(hdc, &ps.rcPaint, (HBRUSH) (COLOR_WINDOW + 1));



      EndPaint(hwnd, &ps);
    }
    return 0;
  }

  return DefWindowProc(hwnd, uMsg, wParam, lParam);
}

The above code does not compile. It is highly unlikely that Microsoft has posted broken code, so I am quite sure I've gone wrong somewhere. I copied the code into a file (window.cpp), and compiled using MinGW:

$ g++ window.cpp -o window.exe

It returns an error:

C:/TDM-GCC-64/bin/../lib/gcc/x86_64-w64-mingw32/5.1.0/../../../../x86_64-w64-mingw32/lib/../lib/libmingw32.a(lib64_libmingw32_a-crt0_c.o): In function 'main':
C:/crossdev/src/mingw-w64-v4-git/mingw-w64-crt/crt/crt0_c.c:18: undefined reference to 'WinMain'
collect2.exe: error: ld returned 1 exit status

Why though? I am compiling any other C++ program in the same way. Why doesn't this one compile?