How I'm creating my rendering context using wgl :
//Device
HDC hdc = GetDC(hWnd);
HGLRC hRC = wglCreateContext(hdc);
How/where/when should I change the version of the OpenGL context?
Is there a function like wglCreateContextVer(hdc, major(3) /major/, 0 /minor/, "core");
You can use
wglCreateContextAttribsARB. e.g.:See also Sample code showing how to create a window using a modern OpenGL core profile context without any libraries other than the standard Win32 wglXXX calls.