hey. looks like u figured out how to get the hWnd of the messenger window and append a menu item to it.  So u have problems capturing user events to the new item. 
Well, the only way to implement this functionality is to install a global window hook. If u read the docs regarding this u will see u have to isolate ur hook callback proc to a DLL (a 'real' WIN32 DLL - not  ActiveX). Since ur using VB to implement this plugin u will run into problems with this approach since VB does not allow you to create 'real' DLLs.  
Its possible to code the DLL using another language like C++ or Delphi with the hook proc passing events to a VB frontend application  using some form of IPC.  
I believe thats only only way if you want to use VB with this.  Life would be a little less complicated if you decide to do this with C++ or Delphi. 
