Message handling is at the heart of what makes a Windows
application work. The system and other applications generate
messages for every event that occurs in Windows. Messages
allow Windows to run multiple applications at once. Windows
98 and Windows 2000 give each thread or process its own
message queue, allowing each one to work independently. In
earlier versions of Windows, all applications shared the
message queue. In these versions of Windows, an application
had to give control back to Windows as often as possible to
allow other applications to process messages. Since Windows
95 and Windows NT were introduced, this is no longer an issue.
Message Flow

Windows generates messages for every hardware event, such as
when the user presses a key on a keyboard or moves a mouse.
It passes these messages to the appropriate thread message
queue. Each thread in the system processes the messages in
its own message queue. If a message is destined for a
specific thread, the message is placed in that thread's
message queue. Some messages are systemwide or are destined
for multiple threads.