Microsoft offers an impressive feature in MFC that routes WM_COMMAND and COMMAND_UPDATE messages via command routering using OnCmdMsg(...) in main and a function in doc to traverse through all active view. The drawback, however, is that it only works for COMMAND messages, not any messages.
I wonder if there is a technique similar to the one mentioned above for specific command type such as user commanders (WM_USER_MYCOMMAND, etc). The message map would look like this:
// ON_MESSAGE(WM_USER_MYCOMMAND, OnMyCommand)