#include <windows.h>
#include <stdio.h>
LRESULT CALLBACK WinNemoProc(
  HWND hwnd,      // handle to window
  UINT uMsg,      // message identifier
  WPARAM wParam,  // first message parameter
  LPARAM lParam   // second message parameter
);

int WINAPI WinMain(
  HINSTANCE hInstance,  // handle to current instance
  HINSTANCE hPrevInstance,  // handle to previous instance
  LPSTR lpCmdLine,      // pointer to command line
  int nCmdShow          // show state of window
)
{
    WNDCLASS wndcls;
    wndcls.cbClsExtra=0;
    wndcls.cbWndExtra=0;
    wndcls.hbrBackground=(HBRUSH)GetStockObject(BLACK_BRUSH);
    wndcls.hCursor=LoadCursor(NULL,IDC_CROSS);
    wndcls.hIcon=LoadIcon(NULL,IDI_ERROR);
    wndcls.hInstance=hInstance;
    wndcls.lpfnWndProc=WinNemoProc;
    wndcls.lpszClassName="Nemo2012";
    wndcls.lpszMenuName=NULL;
    wndcls.style=CS_HREDRAW|CS_VREDRAW;
    RegisterClass(&wndcls);
    HWND hwnd;
    hwnd=CreateWindow("Nemo2012","C++ Primer",WS_OVERLAPPEDWINDOW,
        0,0,400,600,NULL,NULL,hInstance,NULL);
    ShowWindow(hwnd,SW_SHOWNORMAL);
//  UpdateWindow(hwnd);

    MSG msg;
    while(GetMessage(&msg,NULL,0,0))
    {
        TranslateMessage(&msg);
        DispatchMessage(&msg);

    }
    return 0;
}


LRESULT CALLBACK WinNemoProc(
  HWND hwnd,      // handle to window
  UINT uMsg,      // message identifier
  WPARAM wParam,  // first message parameter
  LPARAM lParam   // second message parameter
)
{
    switch(uMsg)
    {
    case WM_CHAR:
        char szChar[20];
        sprintf(szChar,"char is %d",wParam);
        MessageBox(hwnd,szChar,"Nemo",0);
        break;
    case WM_PAINT:
        HDC hDC;
        PAINTSTRUCT ps;
        hDC=BeginPaint(hwnd,&ps);
        TextOut(hDC,0,0,"C++",strlen("C++"));
        EndPaint(hwnd,&ps);
        break;
    case WM_LBUTTONDOWN:
        MessageBox(hwnd,"mouse clicked","Nemo",0);
        HDC hdc;
        hdc=GetDC(hwnd);
        TextOut(hdc,0,50,"C++ Primer Plus",strlen("C++ Primer Plus"));
        ReleaseDC(hwnd,hdc);
        break;
    case WM_CLOSE:
        if(IDYES==MessageBox(hwnd,"是否结束?","Nemo",MB_YESNO))
        {
            DestroyWindow(hwnd);
        }
        break;
    case WM_DESTROY:
        PostQuitMessage(0);
        break;
    default:DefWindowProc(hwnd,uMsg,wParam,lParam);
    }
    return 0;
}

这个孙新的视频里有的吧
把代码考回去看看

return DefWindowProc(hwnd,uMsg,wParam,lParam);

正解，回去跟了下代码，并查了下msdn，return DefWindowProc(hwnd,uMsg,wParam,lParam); 对某些消息DefWindowProc会返回非零值。这是原因。
但是我还是不清楚整个流程，希望高手有时间能详细说一下，多谢

多谢！好人呐~