There is no message sent, you will probably get it on the command line, use argc / argv or GetCommandLine ()
NoOpenWith KCR\Applications\myprogram.exe, , .
, , HKCR\Applications\myprogram.exe\shell\open\Command, ( DDE Droptarget, " " )
, openwith , , , , myprogram.exe/openwith "% 1"