OK, let's see how it works
Code:
//HookDemo.cpp
#include <windows.h>
#include "WINUSER.H"    
/*---------------------------------------------
          Shared Variables
This data is shared between both prcesses.  The
VB App has access to these variables through the
function SetSharedData
---------------------------------------------*/
#pragma data_seg(".shared")
    bool ChangeMessage = false;
    int Shared_uMsg = 0;
    int Shared_wParam = 0;
    int Shared_lParam = 0;
    HWND hWndVB = 0; //handle to subclassed VB Window
    HWND hWndCtrl = 0;//handle to the window we want to monitor
#pragma data_seg()
#pragma comment(linker, "/SECTION:.shared,RWS")

//---------------------------------------------
// Global Variables, specific to each process
//---------------------------------------------
    HHOOK    hmsgHooks = 0;        // Hook handle for WH_GETMESSAGE
    HINSTANCE    hInstance;    // Global instance handle for DLL

//--------------------------------------------
//        DLL entry-point
//--------------------------------------------
BOOL WINAPI DllMain(
    HINSTANCE hinstDLL,  // handle to DLL module
    DWORD fdwReason,     // reason for calling function
    LPVOID lpvReserved )  // reserved
{
    // Perform actions based on the reason for calling.
    switch( fdwReason )
    {
        case DLL_PROCESS_ATTACH:
         // Initialize once for each new process.
         // Return FALSE to fail DLL load.
            hInstance = hinstDLL;//save dll handle for each process
            break;
    
        case DLL_THREAD_ATTACH:
         // Do thread-specific initialization.
            break;

        case DLL_THREAD_DETACH:
         // Do thread-specific cleanup.
            break;

        case DLL_PROCESS_DETACH:
         // Perform any necessary cleanup.
            break;
    }
    return TRUE;  // Successful DLL_PROCESS_ATTACH.
}
Pretty cool, thanks!