The operating system generally posts mouse messages to the window that is under the mouse pointer at the time the system reads the mouse input events from the system message queue. An application can change this by using the WinSetCapture function to route all mouse messages to a specific window or to the message queue associated with the current thread. If mouse messages are routed to a specific window, that window receives all mouse input until either the window releases the mouse or the application specifies another capture window. If mouse messages are routed to the current message queue, the system posts each mouse message to the queue with the hwnd member of the QMSG structure for each message set to NULL. Because no window handle is specified, the WinDispatchMsg function in the application's main message loop cannot pass these messages to a window procedure for processing. Therefore, the application must process these messages in the main loop.

Capturing mouse input is useful if a window needs to receive all mouse input, even when the pointer moves outside the window. For example, applications commonly track the mouse-pointer position after a mouse "button down" event, following the pointer until a "button up" event is received from the system. If an application does not call WinSetCapture for a window and the user releases the mouse button, the application does not receive the button-up message. If the application sets a window to capture the mouse and tracks the mouse pointer, the application receives the button-up message even if the user moves the mouse pointer outside the window.

Some applications are designed to require a button-up message to match a button-down message. When processing a button-down message, these applications call WinSetCapture to set the capture to their own window; then, when processing a matching button-up message, they call WinSetCapture, with a NULL window handle, to release the mouse.