Accessing the windows message loop?

[AdamMaynard24]

I'm wanting to use WSAAsyncSelect() in a wx app.. and the third
parameter requires a message name (unsigned int), which windows will
pass back to the standard message loop, and whereby you should catch in
your application and handle.

Now usually, you might look at WndProc (the windows procedure), and
check for this message, or something like this.

How does wx fit in? How can I access this message and it's details that
will come with it.

Adam.