WIN32 메시지 루프에관한 설명이 잘 나와있다.

http://www.winprog.org/tutorial/message_loop.html

사이트 이름은 theForger's Win32 API Programming Tutorial

잘나와있다.

What is a Message Loop

while(GetMessage(&Msg, NULL, 0, 0) > 0)
{
    TranslateMessage(&Msg);
    DispatchMessage(&Msg);
}

1. The message loop calls GetMessage(), which looks in your message queue. If the message queue is empty your program basically stops and waits for one (it Blocks).
2. When an event occures causing a message to be added to the queue (for example the system registers a mouse click) GetMessages() returns a positive valueindicating there is a message to be processed, and that it has filled in the members of the MSG structure we passed it. It returns 0 if it hits WM_QUIT, and a negative value if an error occured.
3. We take the message (in the Msg variable) and pass it to TranslateMessage(), this does a bit of additional processing, translating virtual key messages into character messages. This step is actually optional, but certain things won't work if it's not there.
4. Once that's done we pass the message to DispatchMessage(). What DispatchMessage() does is take the message, checks which window it is for and then looks up the Window Procedure for the window. It then calls that procedure, sending as parameters the handle of the window, the message, and wParam and lParam.
5. In your window procedure you check the message and it's parameters, and do whatever you want with them! If you aren't handling the specific message, you almost always call DefWindowProc() which will perform the default actions for you (which often means it does nothing).
6. Once you have finished processing the message, your windows procedure returns, DispatchMessage() returns, and we go back to the beginning of the loop.