This error message usually appears in case of Unicode applications.
You can put a L before your string: L"Hello...", but the better solution is to use _T macro:
MessageBox(_T("Hello. This is my first Visual C++ Application!"));
Now your program can be compiled in both Unicode and ANSI modes. You have to use such macro for almost all of your strings.
The current mode can be selected in Project Properties --> General --> Character Set.
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