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Install Visual Studio 2017
Download and unpack Python-3.6.2.tgz
Open a Visual Studio command prompt
Browse to Python-3.6.2\PCBuild
Run build.bat -p x64 -c Release
Run build.bat -p x64 -c Debug
Add the PCbuild\amd64 directory to your PATH
Create a new Visual Studio Win32 GUI project called mypythonw
Copy-paste the source code of Python-3.6.2\PCBuild\WinMain.c into your mypthonw project.
Add Python-3.6.2\Include and Python-3.6.2\PC to mypythonw's include path.
Add Python-3.6.2\PCbuild\amd64 to mypythonw's library search path
Build mypthonw
Run these two commands:
pythonw -c "import ctypes; ctypes.windll.user32.MessageBoxW(0, 'Hello World!', 'Hello', 0)
mypythonw -c "import ctypes; ctypes.windll.user32.MessageBoxW(0, 'Hello World!', 'Hello', 0)
The first will show a message box, while the second will show nothing. You won't get an error message or a debugger from mypythonw.exe. It'll just silently do nothing.
There must be something in the configuration of pythonw.vcxproj that is necessary for Python embedding to work, and which makes it work in pythonw but fail in mypythonw. The two projects are executing the exact same C code, but one works and the other doesn't. What's going on here?

Just for kicks I tried the same Py_Main() code from a Win32 console application (instead of from a GUI application). The C code this time was
#include <Python.h>
int wmain(int argc, wchar_t** argv) {
 return Py_Main(argc, argv);
}
The resulting error message when trying to run the program is now
===========================================================
> mypythoncmd.exe -c "import ctypes; ctypes.windll.user32.MessageBoxW(0, 'Hello World!', 'Hello', 0)"
Fatal Python error: Py_Initialize: unable to load the file system codec
ModuleNotFoundError: No module named 'encodings'
Current thread 0x000009f0 (most recent call first):
OUTPUT ENDS HERE
===========================================================

I removed my custom built Python and installed the one provided by the python-3.6.2-amd64.exe installer instead.
The Win32 Command Line application now works, and shows the message box. The Win32 GUI Application still fails to work, the output is just nothing. As expected, pythonw works as always, it shows the popup.

Your final file layout needs to match any of our standard ones. On my phone now so I'm not going to write them all out (will do it later if you need), but you need to put your .exe in the same location as the python.exe for the runtime you're using (or move the runtime around your exe).
Also look at the embeddable zip package. It's meant for this (though you still need a full install to build). I do this all the time.