If you ever used Visual Studio/C++ 6 (98), you would notice that the MFC Class Wizard allows you to set up messages as you create a class. Well, I’m not sure about VS2003, but VS2005, when you use the MFC Class Wizard, there are no options for setting up messages and events. Where did the options go?!?! Well, if you click on the class in class view, there are more little buttons on the properties window. If you click on the little icon next to the lightening bolt, you will see you can then set up messages for your class. Easy as 1-2-3!
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VS2005 MFC Class Wizard Changes
Steve Novoselac's Blog 