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PostMessage(Application.Handle, MYMESSAGE, 0,0);                    

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type 
...
protected
  procedure DoMyMessage(var Message: TMessage); message MYMESSAGE;
...

procedure DoMyMessage(var Message: TMessage);
begin
  if Assigned(FOnMyEvent) then FOnMyEvent(Self); //<- also TNotifyEvent
end;                    

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const
  WM_TESTMSG = WM_USER + 1;

type
  TTestMsg = class
  public
    FHandle: HWnd;
  protected
    procedure WMTest(var Msg: TMessage); message WM_TESTMSG;
    procedure WndProc(var Msg: TMessage);
  public
    constructor Create;
    destructor Destroy; override;
    property Handle: HWnd read FHandle;
  end;
..
constructor TTestMsg.Create;
begin
  FHandle := AllocateHWnd(WndProc);
end;

procedure TTestMsg.WndProc(var Msg: TMessage);
begin
  Dispatch(Message);
end;

destructor TTestMsg.Destroy;
begin
  DeallocateHWnd(FHandle);
  inherited;
end;

procedure TTestMsg.WMTest(var Msg: TMessage);
begin
  Showmessage('funzt');
end;