I am trying to get to grips with using Windows API functions, but making them work properly is proving difficult.
In VS2015, my C++ code currently produces linker errors whenever I call
using namespace System;
MessageBox(NULL, L"Stuff", L"Things", MB_OK | MB_ICONEXCLAMATION);
You accidentally created a .net project, which implies you aren't going to be using the Windows API, at least not without some changes to your project. You need to create a Win32 project, not a .net project.