C / C++ / MFC

• Messages sent to a window (see SendMessage),
  
• messages sent to a thread (see PostThreadMessage)

1. A responsive window must be created in the context of a thread that performs a message loop: deep deep inside the MFC code there's such a loop that causes your MFC windows to become alive. Without MFC, it's up to you to write the thing.
   
2. If you're trying to catch a message intended for a window that has not been created by the current thread, then you're out of luck.

// Create any windows dependent on this thread (see CreateWindow)

// Message loop

MSG msg;

while(GetMessage(&msg,NULL,0,0)!=0){
  TranslateMessage(&msg);
  DispatchMessage(&msg);
}

// Clean up the windows (DestroyWindow)

return;