You don't have to hook the program to do this (although its an option) use Spy++ that comes with the platform SDK. To do this just select Spy from the main menu then the messages option and drag the finder tool (the icon) over the window to monitor. You can even filter the types of messages to include.

If however you want to physically plumb into the message queue you can do one of two things. First you can subclass an applications message queue or window procedure, secondly you define a system wide message hook. Both of these options are relatively easy to do and examples can be found on MSDN. I actually use the first option in my VFPEvents.fll to monitor the message queue and perform MessageBox manipulation, however its in C++.

HTH
Neil