Excuse me, but we do all read MSDN. I myself have written several WndProcs and a message loop or two. Hell, I linked you to MSDN! And the timer code I gave you bypasses all the message processing crap!
If you're worried about a message loop, don't be. So long as you call SetTimer() in the same thread as Initialize(), Messenger's own message loop will handle dispatching the timer messages.
Edit: I know Cookie, which is why I said the same thread as Initialize()