(Your application wasn't even a "process" per se. Until Windows 95, everything was just happening in one shared address space, in real mode. In fact, it was only in Windows 3.1 where user applications stopped running in ring 0!)
If you think about it, this "the kernel is a game engine and your application is the game" approach isn't necessarily a bad design... for a single-tasking OS's library exokernel, like the Wii's https://wiibrew.org/wiki/IOS.
But, of course, Windows claimed to be a multitasking OS. But it actually wasn't! And I don't mean the obvious thing about it not having pre-emption. Lots of multitasking OSes didn't have pre-emption.
No, what I mean is that the concurrency primitive for the cooperative scheduling wasn't the "task" (i.e. the process or thread. Which, again, there weren't any of.) Instead, the concurrency primitive was the window. Until Windows 95, Windows was a multi-windowing OS.
Each control was owned by a window. Each window had a WndProc. If your Windows executable (i.e. application delegate module) set up two windows, then each window participated separately in the global Windows event loop, up-to-and-including things like having its own set of loaded fonts, its own clipboard state, and its own interned strings table. In OOP terms†, your application was just a dead "class object", running no logic of its own save for one-time load and unload hooks. It was the windows themselves that were the "instances" of your class.
This might make you realize why MDI (or Multiple Document Interface, where there are multiple small per-document "windows" inside one big window) was so popular back then. The MDI "windows" weren't actually windows — they didn't have their own WndProc. They were just controls, like a tab view is a control. Only the big container window was a real window, and so all the resources within that big window were shared between all the virtual windows. MDI was a memory-saving trick!
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† The actual more interesting analogy is that Windows was essentially a (single-threaded, cooperatively-scheduled) actor system, where windows were the actors. There is a very close parallel between (Windows 3.1 executables, Windows 3.1 windows) and (Erlang modules, Erlang processes).