message windows and thread messages?

my question is simple...the msdn documention is sevearly lacking when it explains what a message window is and also in the explination of thread messages. I''d like to know how thread messages are filtered from other messages (ie. in your msg proc how can u cut down on cpu cycles by NOT HAVING to filter out window messages so that u can JUST respond to thread messages??, can u just respond to thread messages without a message proc for them even?!) And secondly wtf is the difference between message windows an thread messages in the context of their uses. The msdn docs only say that message windows can be used to send messages but so can thread messages? So why use one over the other... Any help in demystifying these for me is appreciated and thanked for in advance < krysole || krysollix > sleep, caffeine for the weak minded