Den Quellcode habe ich größtenteils aus der MSDN.

#include <cstdlib>
#include <iostream>
#include <windows.h>
#include <fstream>

using namespace std;

SERVICE_STATUS Serv_status;
SERVICE_STATUS_HANDLE hServ_status;

VOID WINAPI MyServiceCtrlHandler (DWORD Opcode) 
{ 
   DWORD status; 

   switch(Opcode) 
   { 
      case SERVICE_CONTROL_PAUSE: 
      // Do whatever it takes to pause here. 
         Serv_status.dwCurrentState = SERVICE_PAUSED; 
         break; 

      case SERVICE_CONTROL_CONTINUE: 
      // Do whatever it takes to continue here. 
         Serv_status.dwCurrentState = SERVICE_RUNNING; 
         break; 

      case SERVICE_CONTROL_STOP: 
      // Do whatever it takes to stop here. 
         Serv_status.dwWin32ExitCode = 0; 
         Serv_status.dwCurrentState  = SERVICE_STOPPED; 
         Serv_status.dwCheckPoint    = 0; 
         Serv_status.dwWaitHint      = 0; 

         SetServiceStatus (hServ_status, &Serv_status);

         return; 

      case SERVICE_CONTROL_INTERROGATE: 
      // Fall through to send current status. 
         break;   
   } 
   SetServiceStatus (hServ_status, &Serv_status);
   // Send current status. 

   return; 
} 

void WINAPI MyServiceStart (DWORD argc, LPTSTR *argv) 
{ 
    DWORD status; 
    DWORD specificError; 

    Serv_status.dwServiceType        = SERVICE_WIN32; 
    Serv_status.dwCurrentState       = SERVICE_START_PENDING; 
    Serv_status.dwControlsAccepted   = 0; 
    Serv_status.dwWin32ExitCode      = 0; 
    Serv_status.dwServiceSpecificExitCode = 0; 
    Serv_status.dwCheckPoint         = 0; 
    Serv_status.dwWaitHint           = 10000; 

    hServ_status = RegisterServiceCtrlHandler( 
        "MyService", 
        MyServiceCtrlHandler); 

    SetServiceStatus(hServ_status, &Serv_status);

    // Handle error condition 
    if (status != NO_ERROR) 
    { 
        Serv_status.dwCurrentState       = SERVICE_STOPPED; 
        Serv_status.dwCheckPoint         = 0; 
        Serv_status.dwWaitHint           = 0; 
        Serv_status.dwWin32ExitCode      = status; 
        Serv_status.dwServiceSpecificExitCode = specificError; 

        SetServiceStatus (hServ_status, &Serv_status); 
        return; 
    } 

    // Initialization complete - report running status. 
    Serv_status.dwCurrentState       = SERVICE_RUNNING; 
    Serv_status.dwCheckPoint         = 0; 
    Serv_status.dwWaitHint           = 0; 
    Serv_status.dwControlsAccepted   = SERVICE_ACCEPT_STOP |
        SERVICE_ACCEPT_PAUSE_CONTINUE;

    SetServiceStatus (hServ_status, &Serv_status);
    Beep( 750, 3000 );//Warum beept er hier nicht???
    fstream f;
    f.open("C:\\service_test.txt", ios::out);
    f << "Der Dienst laeuft." << endl;
    f.close();
    // This is where the service does its work. 
    return; 
}

int main(int argc, char *argv[])
{
    SERVICE_TABLE_ENTRY serv_dispatchtable[]=
    {
                        {TEXT("MyService"),(LPSERVICE_MAIN_FUNCTION)MyServiceStart},
                        {NULL,NULL}
    };
    StartServiceCtrlDispatcher(serv_dispatchtable);
    system("PAUSE");
    return EXIT_SUCCESS;
}

Allerdings gibt der Dienst kein Lebenszeichen von sich.
Das heißt er beept nicht und er schreibt auch nix in die txt Datei.

Wie kann ich also testen was nicht funktioniert??
Vllt findet ihr ja auch nen Fehler;

MFG
Ace

Ansonsten empfehele ich lesen:
http://msdn2.microsoft.com/en-us/library/ms810429.aspx