From the docs for CreateWindow:
hWndParent
[in] Handle to the parent or owner window of the window being created. To
create a child window or an owned
window, supply a valid window handle.
This parameter is optional for pop-up
windows.
Windows 2000/XP: To create a message-only window, supply HWND_MESSAGE or a
handle to an existing message-only window.
Here is some code, from WebKit I think, that sets up a message-only window for timer events.
Here is an article that shows a (possibly overly) fancy way to create an invisible, message-only window: http://www.codeguru.com/cpp/w-p/win32/tutorials/article.php/c12689