An application can choose specific messages to retrieve from the message queue (and ignore other messages) by specifying a message filter with the WinGetMsg or WinPeekMsg functions. The message filter is a range of message identifiers (specified by a first and last identifier), a window handle, or both. The WinGetMsg and WinPeekMsg functions use the message filter to select the messages to retrieve from the queue. Message filtering is useful if an application needs to search ahead in the message queue for messages that have a lower priority or that arrived in the queue later than other less important messages.

Any application that filters messages must ensure that a message satisfying the message filter can be posted. For example, filtering for a WM_CHAR message in a window that does not receive keyboard input prevents the WinGetMsg function from returning. Some messages, such as WM_COMMAND, are generated from other messages; filtering for them also can prevent WinGetMsg from returning.

To filter for mouse, button, and DDE messages, an application can use the following constants:

WM_MOUSEFIRST and WM_MOUSELAST
WM_BUTTONCLICKFIRST and WM_BUTTONCLICKLAST
WM_DDE_FIRST and WM_DDE_LAST.