As one of those people who only have a hammer :-( ... It looks like MFC just told us off with this? WM_GETDLGCODE has meaningfull wParam and lParam, but CWnd::OnGetDlgCode has none of that. Anyone used OnGetDlgCode? Help?
The specific context is handling the return key - Windows tells you what key caused WM_GETDLGCODE to be fired in the wParam parameter, but MFC doesn't pass that information on to the OnGetDlgCode handler.
Something that often catches people out with MFC is the thought that you have to use the specific handler that MFC declares for a certain message. In fact, it's simply a shortcut - ON_WM_GETDLGCODE in the message map causes the message map handling to go down a certain branch that happens to call the handler function with no parameters.
Instead, you can simply use ON_MESSAGE in the message map, using WM_GETDLGCODE and declaring the function as taking WPARAM, LPARAM and returning LRESULT. Do make sure you don't also include ON_WM_GETDLGCODE.
The message map macros themselves simply produce a table of message number ranges and handler function pointers. The MFC WindowProc scans the table to find a handler for a given message number, then - based on an enumeration value set by the message map macro which indicates the argument types - decodes wParam and lParam, then calls the handler with the appropriate arguments.
Many of the predefined helper message map macros, which usually don't take any arguments, define the function name that you're expected to implement. ON_MESSAGE allows you to specify the function name (as you'd expect, as a generic macro).
The Visual Studio Wizards have always simplified the full power of message maps, not supporting custom message numbers (which you have to use ON_MESSAGE for) and not supporting ranges of command IDs (ON_COMMAND_RANGE, ON_NOTIFY_RANGE, etc). Few people even seem to realise that you can use the same handler function for more than one message map macro, for example if you have discontinuous ranges of control IDs.