der Compiler sagt mir: error C2065: 'WindowProc': nichtdeklarierter Bezeichner
Aber ich habe die Funktion definiert.

#include "stdafx.h"
#include "Test.h"

#define WINDOW_CLASS_NAME L"Game Window"

#define KEYDOWN(vk_code) ((GetAsyncKeyState(vk_code)&0x8000)?1:0)
#define KEYUP(vk_code) ((GetAsyncKeyState(vk_code)&0x8000)?0:1)

// Globals

HWND main_window_handle = NULL;
HINSTANCE hinstance_app = NULL;

// --------------
// --- System ---
// --------------

int WINAPI WinMain(HINSTANCE hinstance, HINSTANCE hprevinstance, LPSTR lpcmdline, int ncmdshow)
{
	MSG msg;
	HWND hwnd;
	WNDCLASSEX winclass;

	winclass.cbSize = sizeof(WNDCLASSEX);
	winclass.style = CS_HREDRAW | CS_VREDRAW;
	winclass.lpfnWndProc = WindowProc;
	winclass.cbClsExtra = 0;
	winclass.cbWndExtra = 0;
	winclass.hInstance = hinstance;
	winclass.hIcon = LoadIcon(NULL, IDI_APPLICATION);
	winclass.hCursor = LoadCursor(NULL, IDC_ARROW);
	winclass.hbrBackground = (HBRUSH) GetStockObject(BLACK_BRUSH);
	winclass.lpszMenuName = NULL;
	winclass.lpszClassName = WINDOW_CLASS_NAME;
	winclass.hIconSm = LoadIcon(NULL, IDI_APPLICATION);

	hinstance_app = hinstance;

	if (!RegisterClassEx(&winclass))
	{
		return(0);
	}

	if (!(hwnd = CreateWindowEx(NULL, WINDOW_CLASS_NAME, L"My Game", WS_OVERLAPPEDWINDOW | WS_VISIBLE, 0, 0, 800, 600, NULL, NULL, hinstance, NULL)))
	{
		return(0);
	}

	main_window_handle = hwnd;

	GameInit();

	while(TRUE)
	{
		if (PeekMessage(&msg, NULL, 0, 0, PM_REMOVE))
		{
			if (msg.message == WM_QUIT)
			{
				break;
			}

			TranslateMessage(&msg);
			DispatchMessage(&msg);
		}

		GameMain();
	}

	GameShutdown();

	return(msg.wParam);
}

LRESULT CALLBACK WindowProc(HWND hwnd, UINT msg, WPARAM wparam, LPARAM lparam)
{
	HDC hdc;
	PAINTSTRUCT paintstruct;

	switch (msg)
	{
		case WM_CREATE:
		{
			return(0);
		}

		case WM_PAINT:
		{
			hdc = BeginPaint(hwnd, &paintstruct);
			EndPaint(hwnd, &paintstruct);

			return(0);
		}

		case WM_DESTROY:
		{
			PostQuitMessage(0);

			return (0);
		}
	}

	return (DefWindowProc(hwnd, msg, wparam, lparam));
}

// ---------------
// --- Methods ---
// ---------------

void GameInit()
{

}

void GameMain()
{
	if (KEYDOWN(VK_ESCAPE))
	{
		SendMessage(main_window_handle, WM_CLOSE, 0, 0);
	}
}

void GameShutdown()
{

}

der Compiler sagt mir: error C2065: 'WindowProc': nichtdeklarierter Bezeichner
Aber ich habe die Funktion definiert.

Du hast sie aber erst später definiert. Der Compiler liest streng von oben nach unten. Also entweder Reihenfolge vertauschen oder vorher deklarieren.