Thread: Telling other applications to stop

Ok, thanks, heres what that loop looks like now:

Code:

    while (!SERVER_STOP)
	{
        PeekMessage(&Message, NULL, WM_USER, WM_USER, PM_NOREMOVE);
        // Get message(s) if there is one
		if(PeekMessage(&Message, NULL, 0, 0, PM_REMOVE))
		{
			if(Message.message == WM_QUIT)
				break;	
			TranslateMessage(&Message);
			DispatchMessage(&Message);
		}
		else
		{
			// Handle some requests
		    SFD_New = accept(SFD_Listen, (struct sockaddr *) &ClientAddress, &Size);
		
		    DWORD dwThreadId;														// Info for the thead 
		    HANDLE hThread; 

		    // Create a structure of type ARGUMENT to be passed to the new thread
		    ARGUMENT Argument;
		    Argument.CLA = ClientAddress;
		    Argument.SFD = SFD_New;

		    // CreateThread and process the request
		    hThread = CreateThread( 
                NULL,																// default security attributes 
                0,                           										// use default stack size  
                ProcessRequest,                 									// thread function 
                &Argument,                											// argument to thread function 
                0,                           										// use default creation flags 
                &dwThreadId
            );                												        // returns the thread identifier 
		
		    if (hThread != NULL)												    // If the thread was created, destroy it
		    {
			    CloseHandle( hThread );
		    }
        }

	}

It still didn't shut the application down though...