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Since W3x Microsoft ruled "that thou shalt not subclass someone elses process". If the hWnd isn't in the calling thread then the call will fail EVERY TIME. You can however find and download the message blaster control, and give it a target hWnd and that might do the trick. What are you trying to do with IE? You may be better off writing a BHO if you need to do things within IE (just a suggestion)
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Get or make a standard dll (ASM, C,TPascal) in order to subclass windows that belong to other processes.