If this were later in the future, I would say use the Asynchronous Agents APIs (plug for what I'm working on) in the yet to be released Visual Studio 2010 however what I would say given todays tools is to separate the work, specifically in your message passing pump you want to do as little work as possible to identify the message and pass it along to another thread which will process the work (hopefully there isn't Thread Local information that is needed). Passing it along to another thread means inserting it into a thread safe queue of some sort either locked or lock-free and then setting an event that other threads can watch to pull items from the queue (or just pull them directly). You can look at using a 'work stealing queue' with a thread pool for efficiency.
This will accomplish getting the work off the UI thread, to have the UI thread do additional work (like painting the results of that work) you need to generate a windows message to wake up the UI thread and check for the results, an easy way to do this is to have another 'work ready' queue of work objects to execute on the UI thread. imagine an queue that looks like this: threadsafe_queue<function<void(void)>
basically you can check if it to see if it is non-empty on the UI thread, and if there are work items then you can execute them inline. You'll want the work objects to be as short lived as possible and preferably not do any blocking at all.
Another technique that can help if you are still seeing jerky movement responsiveness is to either ensure that you're thread callback isn't executing longer that 16ms and that you aren't taking any locks or doing any sort of I/O on the UI thread. There's a series of tools that can help identify these operations, the most freely available is the 'windows performance toolkit'.
I hope this was useful.
-Rick