MFC and all native code facilities still exist in the current versions
of VS.

Dave

MFC is no part of .NET, and yes MFC still exists in VS2005!

Take a look at:
http://blogs.msdn.com/texblog/archive/2005/07/11/437750.aspx
http://www.developer.com/net/cplus/article.php/3519046

As you are having difficulty with basics, such as where to add code in an
MFC application shell. you might find a decent introductory book useful:

http://www.wrox.com/WileyCDA/WroxTitle/productCd-0764571974.html

Boki:

You should be aware that the .NET name attached to Visual Studio 2002
and 2003 is just a piece of marketing insanity (which has caused endless
confusion), and does not mean that these products can only generate
programs for the the .NET framework. Visual Studio 2002, 2003 and 2005
(and the coming 2008) can all generate two kinds of programs:

1. Native unmanaged applications (e.g. MFC GUI applications). These are
not much different from those in VC6, except that the Visual Studio IDE
is considerably changed (for the worse, IMHO). Note that the free
Express edition does not include MFC.

2. CLR (.NET) managed applications (e.g WinForms GUI applications).
These are similar to C# WinForms applications, because they use the same
.NET library, but using a C++ syntax. If you are familiar with C#, you
should seriously consider the value in moving to C++ (the main advantage
is that it is easier to interface to old native C++ code). If you want
to go this route you are strongly advised to use VS2005, which has a new
syntax (C++/CLI) for managed code. You can write this kind of
application using the free VC++ 2005 Express (or C# Express for C#).

MFC is not dead, just sleeping. VS 2008 will contain some new MFC
classes targeting Vista, and we hear that the version after that will
feature a renewed emphasis on unmanaged code.