COM uses a message pump under the hood to communicate with your COM object when necessary, if your COM object lives in an apartment. This is how methods are safely called on your object (by serializing messages in turn) when the object is called in another apartment (STA or MTA).
You cannot get to the message pump - COM unites for you only when necessary. You will notice that during debugging you call methods directly on your object - you do not jump through the message pump. Of course, you would be if you collected several objects that live in different apartments.
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