A Windows message is a data record that contains several fields. The most important of these is an integer-size value that identifies the message. Windows defines many messages, and the Messages unit declares identifiers for all of them. Other useful information in a message comes in two parameter fields and a result field. 

One parameter contains 16 bits, the other 32 bits. You often see Windows code that refers to those values as wParam and lParam, for word parameter and long parameter. Often, each parameter will contain more than one piece of information, and you see references to names such as lParamHi, which refers to the high-order word in the long parameter. 

Originally, Windows programmers had to remember or look up in the Windows APIs what each parameter contained. Now Microsoft has named the parameters. This so-called message cracking makes it much simpler to understand what information accompanies each message. For example, the parameters to the WM_KEYDOWN message are now called nVirtKey and lKeyData, which gives much more specific information than wParam and lParam. 

For each type of message, Delphi defines a record type that gives a mnemonic name to each parameter. For example, mouse messages pass the x- and y-coordinates of the mouse event in the long parameter, one in the high-order word, and the other in the low-order word. Using the mouse-message structure, you do not have to worry about which word is which, because you refer to the parameters by the names XPos and YPos instead of lParamLo and lParamHi.

void MyKeyDownHandler(  HWND hwnd, UINT nVirtKey, BOOL fDown, int CRepeat, UINT flags )
{
  .
  .
  .
}
LRESULT MyWndProc( HWND hwnd, UINT Message, WPARAM wParam, LPARAM lParam )
{
  switch(  Message )
  {
    HANDLE_MSG( hwnd, WM_KEYDOWN, MyKeyDownHandler );
    .
    .
    .
}