It's also an example of a Win32 program in assembler, together with a WndProc for a window. Does Win32 require a window if you want to write a web server?
Obviously not, a Win32 process is not required to have any windows at all. Actually, web servers are typically ran as services and services are not allowed to interact with the user interface at all in theory (not just with windows, but with things such as printers either).