How do I intercept messages being sent to a window?
You need to inject your own code into the process that owns the windows you wish to intercept messages from. Fortunately, SetWindowsHookEx() makes this fairly easy, although you may have a bit of trouble at first if you've only used it for in-process hooking up to now.
I can recommend two excellent articles on the subject:
- Joseph Newcomber's Hooks and DLLs
- Robert Kuster's Three Ways to Inject Your Code into Another Process
If the message is sent rather than posted WH_GETMESSAGE won't see it. You need WH_CALLWNDPROC. If you're working across processes you'll need a system-wide hook in a DLL. You don't mention how you invoked SetWindowsHookEx, so I don't know if your hooking failed because it wasn't global, or because the message you were looking for was sent.
If you haven't worked with system-wide hooks before, I have an example of a system-wide hook on my website here. That's a keyboard hook, but the principle is the same.
Stop me if I'm unintentionally talking down here - your question was so short I can't infer your expertise level. But messing around with hooks does imply some experience...