Games are very different applications than traditional Windows applications, such as office type applications and web browsers. Games are not typically event driven in the usual sense, and they must be updated constantly. For this reason, when we actually start writing our 3D programs we will, for the most part, not deal with Windows messages. Therefore, we will want to modify the message loop so that if there is a message, we will process it. But if there is not a message, then we want to run our game code. Our new message loop is as follows:

int Run()
{
     MSG msg;

     while(true)
     {
          if(::PeekMessage(&msg, 0, 0, 0, PM_REMOVE))
          {
               if(msg.message == WM_QUIT)
                    break;

               ::TranslateMessage(&msg);
               ::DispatchMessage(&msg);
          }
          else
               // run game code
     }
     return msg.wParam;
}

After we instantiate msg, we enter into an endless loop. We first call the API function PeekMessage, which checks the message queue for a message. See MSDN for the argument descriptions. If there is a message, it returns true and we handle the message. If PeekMessage returns false, then we handle our own specific game code.