You will need to study some DirectShow for this. Here is a simple article which shows a preview from a webcam. Simultaneous Previewing & Video Capture using DirectShow[^] this is this.

Check out this thread also: http://www.codeproject.com/Forums/1647/C-Cplusplus-MFC.aspx?fid=1647&select=2972272&fr=7846#xx2972272xx[^] Apperantly people have had problems getting it to work before...