static const GUID guid_some_setting;
static cfg_bool g_some_setting(guid_some_setting, false);

static const GUID guid_my_preferences_page;

class my_preferences_page : public preferences_page, public ATL::CAxDialogImpl<my_preferences_page>
{
public:
    // preferences_page
    HWND create(HWND parent) { return Create(parent); }
    const char * get_name() { return "Some Name"; };
    GUID get_guid() { return guid_my_preferences_page; }
    GUID get_parent_guid();
    void reset() { g_some_setting = false; }
    bool reset_query() { return true; }

    // CAxDialogImpl
    enum { IDD = IDD_MY_PREFERENCES }; // ID of your dialog.

    BEGIN_MSG_MAP_EX(my_preferences_page)
        MSG_WM_INITDIALOG(OnInitDialog)
        COMMAND_HANDLER_EX(IDC_SOME_CHECKBOX, BN_CLICKED, OnSomeCheckBoxClicked)
    END_MSG_MAP()

    BOOL OnInitDialog(CWindow wndFocus, LPARAM lInitParam)
    {
        // Initialize control states.
        CheckDlgButton(IDC_SOME_CHECKBOX, g_some_setting ? BST_CHECKED : BST_UNCHECKED);
        // Other controls can be accessed with GetDlgItem(ID).
        // You can also use WTL helpers like CListViewCtrl(GetDlgItem(ID)).
        // To pass UTF-8 strings to controls, use uSetDlgItemText() etc. from shared.h.
        return TRUE;
    }

    void OnSomeCheckBoxClicked(UINT uNotifyCode, int nID, CWindow wndCtl)
    {
        g_some_setting = (IsDlgButtonChecked(nID) == BST_CHECKED);
    }
};

static preferences_page_factory_t<my_preferences_page> g_my_preferences_page;

Here is a simple example of a preferences page implementation with a single checkbox whose state is read from and written to a configuration variable: (...)

Create a dialog with the resource editor and set its ID to IDD_MY_PREFERENCES in the properties window.
This automatically generates an entry in resource.h which you need to include.

Same with other controls and their IDs.

To define get_parent_guid(), refer to the documentation of the preferences_page base class.
The returned GUID depends on where you want your page to appear in the preferences tree.

#include "..\SDK\foobar2000.h"

class preferences_page_handler: public preferences_page_v3
{
    const char* get_name()
    {
        return "Deskband Controls";
    }

    GUID get_guid()
    {
        static const GUID g = { 0x5064d3a8, 0xf765, 0x4d85, { 0x8e, 0x45, 0x56, 0x4a, 0x3d, 0xd2, 0x77, 0x44 } };
        return g;
    }

    GUID get_parent_guid()
    {
        return guid_display;
    }

    preferences_page_instance::ptr instantiate(HWND parent, preferences_page_callback::ptr callback)
    {
        return ? // What should I return here?
    }
};

static preferences_page_factory_t<preferences_page_handler> foo_preferences_page_factory;

return new service_impl_t<my_preference_page_instance>(parent, callback);