Reading the docs, it appears that your callback function isn't quite right..
If you take a closer look at the command, it will fire a MM_MCINOTIFY message at the window specified in the call to mciSendString. From there, you can determine the reason for the callback - i.e
MCI_NOTIFY_ABORTED, MCI_NOTIFY_FAILURE, MCI_NOTIFY_SUCCESSFUL or MCI_NOTIFY_SUPERSEDED
As for the question of what should hwndCallback hold? Simple, the HWND of the window that you wish to have mciSendString fire the callback message at - i.e, the HWND that owns the MyDlg::WindowProc function.
You may find some useful information in this article: Using mciSendString to play media files