I want to handle some SAPI messages from a DLL, which is some sort of plugin. How to handle messages/events inside a VC++ dll. The SAPI event handling is shown in the example at: http://msdn.microsoft.com/en-us/library/ms720165%28VS.85%29.aspx
To process "normal" messages, you still need a Window object. It can be a special "message-only" window that only shares the messaging queue infrastructure with normal windows. To create it, first register your message handling class with RegisterClass(). Next, create an message queue by passing HWND_MESSAGE as the parent window to CreateWindow(). You will get back an HWND you can then to SAPI.
However, SAPI supports other interfaces as well. The ISpNotifySource documentation names 4: Windows messages, callbacks, events and COM (ISpNotifySink). To use callbacks, simply pass the address of one of your DLL methods to SetNotifyCallbackFunction.