It's possible with WINAAPI functions to do this like you would in C/C++. You can see an example for this in mandelbrot_legacy.c. It can be made work in pure mode, I think I tried that once. But you have to consider that it makes your "window" in which your game is rendered smaller, so it's squeezed a bit, so you have to enlarge your window by the same size.

You can see that this works in the Visual level editor by Alexey Rozhkov (=Shadow969), which should be available at AU Resources as it won the GS contest one or two years ago.


EDIT (I didn't see your new post): I don't know so much about WINAPI functions but according to the code I see, it looks like wParam tells you which button was clicked.