According to MSDN, the dwMode parameter for the SetConsoleMode() function should allow ENABLE_VIRTUAL_TERMINAL_PROCESSING (0x04).
My Visual Studio (2013 Ultimate with Update 5) does not define that constant. It only has these two:
#define ENABLE_PROCESSED_OUTPUT    0x0001
#define ENABLE_WRAP_AT_EOL_OUTPUT  0x0002
Was ENABLE_VIRTUAL_TERMINAL_PROCESSING removed?
I am trying to use it like this, so that I can control the cursor using the VT100 escape sequences.
HANDLE hOut = GetStdHandle(STD_OUTPUT_HANDLE);
DWORD dwMode = 0;
GetConsoleMode(hOut, &dwMode);
dwMode |= ENABLE_VIRTUAL_TERMINAL_PROCESSING;
SetConsoleMode(hOut, dwMode);
For reference, see this MSDN article.