Geez! I could spend the whole rest of today trying to explain that stuff. Probably tomorrow and the next day too! Your question kind of reminds me of something like this...
I need to build a rocket ship to go to Mars. Could someone tell me...
1) How to build the propulsion system;
2) How should life support be handled;
3) What's the best way to navigate to there?
4) I don't understand why the ship doesn't need wings.
I'd appreciate having this information by this evening, because I need to leave for there by tomorrow.
Have you ever encountered the concept of acquiring a textbook containing these topics and studying it?
1) I feel that the program is working fine without WM_DESTROY,WM_CREATE then what is the use of them?
There are hundreds of Windows messages. You don't need to provide specific handlers for all of them in any one program. You only need to handle those that affect the functionality of your program, and that is something you have to determine yourself.
GetWindowLong() / SetWindowLong() are very important and commonly used functions. I first learned them in Charles Petzold's Checkers series of programs (there were two or three) in his Programming Windows books. I'd recommend you do the same for those functions, as well as the rest of your questions.
With regard to colors of buttons, the WM_CTLCOLORSTATIC message needs to be handled. You can look up that message on MSDN or get a copy of Win32 Programming by Rector & Newcomer.