Disable Alt Enter fullscreen?

I'd like to know if it is possible to stop a window automatically resizing to fullscreen when the user presses Alt-Enter. Not that I want to disable it, rather, I want to handle it myself. Is there a message sent or something when the user does this?

Btw I'm using the Win32 API.

Thanks.

EDIT: Huge afterthought here...

Question: Are you trying to handle it in your own window... or to exercise control over other windows?

If it's in your own window, just make a keyboard accelerator to make it do whatever you want.

If it's for controlling other windows, you're going to run into some problems with that...
First, only the foreground window receives keystrokes... so no, you're not going to handle it yourself. Second, any associated messaging will be confined to the foreground window's message queue, no other window will see it. You could set a low level keyboard hook and try to intercept that key combination but in my experience this is to totally detrimental to system performance it's just not worth the trouble.