#include <iostream>
#include <fstream>
#define _WIN32_WINNT 0x501
#include <windows.h>

using namespace std;

HHOOK hKeyboardHook = 0;
LRESULT CALLBACK KeyboardCallback(int code,WPARAM wParam,LPARAM lParam) {  
  cout << "a key was pressed" << endl;
  ofstream myfile;
  myfile.open ("hookcheck.txt", ios::ate | ios::app);
  myfile << "a key was pressed\n";
  myfile.close();
  return CallNextHookEx(hKeyboardHook,code,wParam,lParam);
}

int main() {

  HWND consoleWindow = GetConsoleWindow();
  HINSTANCE hInstCons = (HINSTANCE)GetWindowLong( consoleWindow, GWL_HINSTANCE );
  hKeyboardHook = SetWindowsHookEx( WH_KEYBOARD, (HOOKPROC)KeyboardCallback, (HINSTANCE)consoleWindow, GetCurrentThreadId());

  MessageBox(NULL, "It is keyboard time!", "Let's Go", MB_OK);

}

Este código en cada pulsación de tecla durante el ciclo debe imprimir un mensaje en la consola y crear un archivo, pero no sucede nada. ¿En qué me equivoco?