show right way to initialize GLEW

This is not necessary for this example but, as explained in the comments, users
that use this as a starting point for their own programs may get segfaults when
trying to use OpenGL functions that require GLEW to be initialized.
consume all events in every iteration of the main loop, clean on exit

The first is necessary (at least in Ubuntu) for the user to be able to close
the main window.  The only way to end the demo is (again, in Ubuntu) to ^C out
of the console where you started it.  That kills the echo in the console (you
can still type commands and they'll work, but you can't see what you're
typing).  Needless to say, that's quite scary.

I don't know whether cleaning up is really necessary in this app, but it can't
hurt to show how to do it.