What is a Message?

A message is an integer value. If you look up in your header files (which is good and common practice when investigating the workings of API's) you can find things like:

#define WM_INITDIALOG 0x0110
#define WM_COMMAND 0x0111
#define WM_LBUTTONDOWN 0x0201

...and so on. Messages are used to communicate pretty much everything in windows at least on basic levels. If you want a window or control (which is just a specialized window) to do something you send it a message. If another window wants you to do something it sends you a message. If an event happens such as the user typing on the keyboard, moving the mouse, clicking a button, then messages are sent by the system to the windows affected. If you are one of those windows, you handle the message and act accordingly. Each windows message may have up to two parameters, wParam and lParam. Originally wParam was 16 bit and
lParam was 32 bit, but in Win32 they are both 32 bit. Not every message uses these parameters, and each message uses them differently. For example the WM_CLOSE message doesn't use either, and you should ignore them both. The WM_COMMAND message uses both, wParam contains two values, HIWORD(wParam) is the notification message (if
applicable) and LOWORD(wParam) is the control or menu id that sent the message. lParam is the HWND (window handle) to the control which sent the message or NULL if the messages isn't from a control.

HIWORD() and LOWORD() are macros defined by windows that single out the two high bytes (High Word) of a 32 bit value (0xFFFF0000) and the low word (0x0000FFFF) respectively. In Win32 a WORD is a 16bit value, making DWORD (or Double Word) a 32bit value.
To send a message you can use PostMessage() or SendMessage(). PostMessage() puts the message into the Message Queue and returns immediatly. That means once the call to PostMessage() is done the message may or may not have been processed yet. SendMessage() sends the message directly to the window and does not return untill the window has finished processing it. If we wanted to close a window we could send it a WM_CLOSE message
like this PostMessage(hwnd, WM_CLOSE, 0, 0); which would have the same effect as clicking on the button on the top of the window. Notice that wParam and lParam are both 0. This is because, as mentioned, they aren't used for WM_CLOSE.