In the following sample, we catch the WM_RBUTTONDOWN message. This would work for any windows message :

1. In the AFX_MSG section of your .h file, add the declaration of your message handler function :
    //{{AFX_MSG(CMyCtrl)
   // NOTE – the ClassWizard will add and remove member functions here.
   afx_msg LRESULT OnRBtnDown(WPARAM wParam, LPARAM lParam); // handler function
   //}}AFX_MSG
2. Add the body of your function in your .cpp file :
   LRESULT CMyCtrl::OnRBtnDown(WPARAM wParam, LPARAM lParam)
   {
   AfxMessageBox(“WM_RBUTTONDOWN caught”);
   return 0;
   } // LRESULT CMyCtrl::OnRBtnDown
3. In the message map of your .cpp file, add the following :
   BEGIN_MESSAGE_MAP(CMyCtrl, CWnd)
   //{{AFX_MSG_MAP(CFilteredListCtrl)
   // NOTE – the ClassWizard will add and remove mapping macros here.
   ON_MESSAGE(WM_RBUTTONDOWN, OnRBtnDown)
   //}}AFX_MSG_MAP
   END_MESSAGE_MAP()

However, some shortcuts allows you to take care of standard messages. For example, the WM_RBUTTONDOWN message can be caught with :

1. //{{AFX_MSG(CMyCtrl)
   // NOTE – the ClassWizard will add and remove member functions here.
   afx_msg void OnRButtonDown( UINT nFlags, CPoint point );
   //}}AFX_MSG
2. void CMyCtrl::OnRButtonDown( UINT nFlags, CPoint point )
   {
   CWnd::OnRButtonDown( nFlags, point );
   } // void CMyCtrl::OnRButtonDown
3. BEGIN_MESSAGE_MAP(CMyCtrl, CWnd)
   //{{AFX_MSG_MAP(CMyCtrl)
   // NOTE – the ClassWizard will add and remove mapping macros here.
   ON_WM_RBUTTONDOWN()
   //}}AFX_MSG_MAP
   END_MESSAGE_MAP()

You can apply the same approach to many WM_XXX messages.