Using TrackMouseEvent to find out when the mouse leaves your window

If you add this code to any of your existing view classes (or any CWnd derived class), you will see a drag rectangle that follows the mouse cursor around. If you move the mouse outside the window, it will disappear. If you move the mouse back into the window, it will reappear.

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// TrackView.h changes
//

class CTrackView : public CView
{
// Add data members
protected:
	CRect m_rectLast;	//** Added line
	BOOL m_bMouseTracking;	//** Added line

// Add message handler prototype
	afx_msg LRESULT OnMouseLeave(WPARAM wParam, LPARAM lParam);	//** Added line

};

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// TrackView.cpp changes
//

// Add message handler
BEGIN_MESSAGE_MAP(CTrackView, CView)
	ON_MESSAGE(WM_MOUSELEAVE, OnMouseLeave)	//** Added line
END_MESSAGE_MAP()

CTrackView::CTrackView()
{
	m_bMouseTracking = FALSE;	//** Added line
}

/////////////////////////////////////////////////////////////////////////////
// CTrackView message handlers

//** Added function
LRESULT CTrackView::OnMouseLeave(WPARAM wParam, LPARAM lParam)
{
	// Draw last rect, but no new one (erase old rect)
	CClientDC dc(this);
	dc.DrawDragRect(CRect(0,0,0,0), CSize(0,0), m_rectLast, CSize(2,2));
	m_rectLast = CRect(0,0,0,0);

	m_bMouseTracking = FALSE;
	return TRUE;
}

void CTrackView::OnMouseMove(UINT nFlags, CPoint point) 
{
	// Calc new rectangle
	CRect rectNew(point.x-20, point.y-20, point.x+20, point.y+20);
	CClientDC dc(this);

	// WM_MOUSEMOVE + !m_bMouseTracking becomes the equivalent of
	// WM_MOUSEENTER of which there is no such thing.
	if (!m_bMouseTracking)
	{
		TRACKMOUSEEVENT tme;
		tme.cbSize = sizeof(TRACKMOUSEEVENT);
		tme.dwFlags = TME_LEAVE;
		tme.hwndTrack = this->m_hWnd;
		
		if (::_TrackMouseEvent(&tme))
		{
			m_bMouseTracking = TRUE;
			
			// Draw new rect, but no last rect as we are starting anew
			dc.DrawDragRect(rectNew, CSize(2,2), NULL, CSize(0,0));
		}
	}
	else
	{
		// Draw new rect and erase old rect
		dc.DrawDragRect(rectNew, CSize(2,2), m_rectLast, CSize(2,2));
	}

	// Remember where we drew this rectangle
	m_rectLast = rectNew;

	CView::OnMouseMove(nFlags, point);
}

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Here's a helper class I use to make it a little simpler:

class CTrackMouseEvent : public tagTRACKMOUSEEVENT
{
public:
	CTrackMouseEvent(CWnd* pWnd, DWORD dwFlags = TME_LEAVE, DWORD dwHoverTime = HOVER_DEFAULT)
	{
		ASSERT_VALID(pWnd);
		ASSERT(::IsWindow(pWnd->m_hWnd));

		this->cbSize = sizeof(TRACKMOUSEEVENT);
		this->dwFlags = dwFlags;
		this->hwndTrack = pWnd->m_hWnd;
		this->dwHoverTime = dwHoverTime;
	}

	BOOL Track()
		{ return _TrackMouseEvent(this); }
};

You can start tracking like this:

if (!m_bMouseTracking)
	m_bMouseTracking = CTrackMouseEvent(this).Track();