By definition, a windowless ActiveX control does not have a window and is displayed as part of its parent. If you want to work with Windows messages in a control, you can create a workflow with a message outline and process any messages there. To have a message loop, you don't need a window, just a stream. This solution can be implemented in windowless control or in any COM component.
Alternatively, you can use the ActiveX window control by changing its properties.
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