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What is the Message Queue

Lets say you were busy handling the WM_PAINT message and suddenly the user types a bunch of stuff on the keyboard. What should happen? Should you be interrupted in your drawing to handle the keys or should the keys just be discarded? Wrong! Obviously neither of these options is reasonable, so we have the message queue, when messages are posted they are added to the message queue and when you handle them they are removed. This ensure that you aren't going to miss messages, if you are handling one, the others will be queued up untill you get to them.
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