Using
mfc chess pgn I found
this[
^] thread on social.msdn.
If you look at the link in the question it seems that the code from that site will read pgn files, although I haven't looked to see if any of it is MFC (The OP says it is mostly C with one C++ file), but there has to be something for you to do. :)
If that doesn't help then you should be able to make it work from the information given
in the Wikipedia entry for PGN[
^].