What is __stdcall?

__stdcall is the calling convention used for the function. This tells the compiler the rules that apply for setting up the stack, pushing arguments and getting a return value.

There are a number of other calling conventions, __cdecl, __thiscall, __fastcall and the wonderfully named __declspec(naked). __stdcall is the standard calling convention for Win32 system calls.

Wikipedia covers the details.

It primarily matters when you are calling a function outside of your code (e.g. an OS API) or the OS is calling you (as is the case here with WinMain). If the compiler doesn't know the correct calling convention then you will likely get very strange crashes as the stack will not be managed correctly.

C or C++ itself do not define those identifiers. They are compiler extensions and stand for certain calling conventions. That determines where to put arguments, in what order, where the called function will find the return address, and so on. For example, __fastcall means that arguments of functions are passed over registers.

The Wikipedia Article provides an overview of the different calling conventions found out there.

The answers so far have covered the details, but if you don't intend to drop down to assembly, then all you have to know is that both the caller and the callee must use the same calling convention, otherwise you'll get bugs that are hard to find.