This has probably been generated by the tooling you use. If you don't use any special tooling or/and have chosen a fancy compiler, you should be able to do it yourself.

If you choose Microsoft tooling, typically C++/WinRT with C++ and Visual Studio, then WinMain is generated probably in a file named App.xaml.g.hpp (to find that, just start debug, it should get you right in that WinMain).

To use your own, define DISABLE_XAML_GENERATED_MAIN somewhere (note it works for C# too):

And add for example this to your appp.xaml.cpp file:

int WINAPI wWinMain(_In_ HINSTANCE hInstance, _In_opt_ HINSTANCE hPrevInstance, _In_ LPWSTR lpCmdLine, _In_ int nShowCmd)
{
  winrt::init_apartment(winrt::apartment_type::single_threaded);

  // put your fancy code somewhere here
  ::winrt::Microsoft::UI::Xaml::Application::Start(
    [](auto&&)
    {
      // and here (default is like this)
      // ::winrt::make<::winrt::MyNamespace::MyApp::implementation::App>();
    });

  return 0;
}