The specific choice of threading model should be driven by the nature of the problem you are trying to solve. There isn't necessarily a single "correct" approach to designing the threading model for such an application. However, if we adopt the following assumptions:
- messages arrive frequently
- messages are independent and don't rely too heavily on shared resources
- it is desirable to respond to an arriving message as quickly as possible
- you want the app to scale well across processing architectures (i.e. multicode/multi-cpu systems)
- scalability is the key design requirement (e.g. more message at a faster rate)
- resilience to thread failure / long operations is desirable
In my experience, the most effective threading architecture would be to employ a thread pool. All messages arrive on a single queue, multiple threads wait on the queue and process messages as they arrive. A thread pool implementation can model all three thread-distribution examples you have.
#1 Single thread processes all messages => thread pool with only one thread
#2 Thread per N message types => thread pool with N threads, each thread peeks at the queue to find appropriate message types
#3 Multiple threads for all messages => thread pool with multiple threads
The benefits of this design is that you can scale the number of threads in the thread in proportion to the processing environment or the message load. The number of threads can even scale at runtime to adapt to the realtime message load being experienced.
There are many good thread pooling libraries available for most platforms, including .NET, C++/STL, Java, etc.
As to your second question, whether to use standard windows message dispatch mechanism. This mechanism comes with significant overhead and is really only intended for pumping messages through an windows application's UI loop. Unless this is the problem you are trying to solve, I would advise against using it as a general message dispatching solution. Furthermore, windows messages carry very little data - it is not an object-based model. Each windows message has a code, and a 32-bit parameter. This may not be enough to base a clean messaging model on. Finally, the windows message queue is not design to handle cases like queue saturation, thread starvation, or message re-queuing; these are cases that often arise in implementing a decent message queing solution.