It just doesn't. If the form does not have WS_VScroll & WS_HScroll window styles, then you won't get WM_VScroll & WM_HScroll messages. You can still get WM_MouseWheel messages even if no scrollbars are present.

Edited: Though you can add those window styles and then later hide the scrollbar with the ShowScrollbar API, hidden scrollbars are just the same as not having them -- no messages.