This is really cumbersome. The easiest way ist WITH the MFC. A possible solution is sometimes to take a look on the sources to understand it.
My explicit recommandation is for Non-MFC is WTL. Here is a fine article about
Property Sheets and Wizards with WTL.
If you want to the hard way take a look at a article and code on
Codeguru. Looks like it isnt all fine there but it is the right way.