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Windows classes need to be registered before they can be used (built-in windows classes don't). This tells the operating system about your window.
After the windows class has been registered, instances of the window can be created.
The operating system interacts with a window by sending it messages. A function is required to decode these messages and perform any actions required in response. The address of this function is part of the information provided to windows during registration.
If you don't respond to the WM_DESTROY message, your window won't be destroyed and your program will not close.
An attempt to list all the messages a user created window might see:
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Notebook exported on Monday, 7 July 2008, 18:56:50 PM Eastern Daylight Time