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The SetWindowCallback function is a comfortable way with regard to the treatment of events. But according to the WinApi the API functions GetMessage, TranslateMessage and DispatchMessage should also work. My problem is: These functions require only a pointer to the structure MSG. How do they know what procedure in my PB-code is responsible for the handling of events? Shouldn't there be a pointer to my callback procedure as it is the case when I use: SetWindowCallback(@MyCallbackProcedure)?

P.S.
SetWindowCallback, WaitWindowEvent, WindowEvent - these all work fine. I only want to get a deeper inside in WinAPI. That's why I did post this question.

When you register your window class the lpfnWndProc member of your WNDCLASSEX structure is where you will store the pointer to your callback.

My problem is: These functions require only a pointer to the structure MSG.

AFAIK you are not able to obtain this pointer as this would interfere with PB's internal event loop. It's the same problem with the IsDialogMessage_() command wich would enable keyboard navigation like in standard Windows dialogs but you would need the pointer to the MSG structure as well.