what @jdigital said. Note that if you create a hidden window, and your thread does not already implement a message loop (either in regular win32-speak, or one in the context of a COM STA -- and if you have no idea what I'm talking about then one probably does not exist in your thread), you'll also want to create a message loop as well. ATL makes it fairly easy with _AtlModule.RunMessageLoop();
Unfortunately this also means the thread in question is probably going to need to be event-driven while it is in the message loop. You can do tricky things like MsgWaitForMultipleObjects, but it gets hairy.
Here's an example of hidden windows if you're familiar with ATL/COM. I went through this pain a while back and thought there was a useful discussion on microsoft.public.vc.atl, but the best I can find now is this post. which goes into some detail about variants of message loops (what to do differently if you have keystroke accelerators or modeless windows, sounds like you don't in your application).