The Control class has a WndProc method. So you essentially just inherit from any Control-based class you want to subclass and then override that method. It passes in a parameter that specifies the message, wParam, and lParam. You can also set the return value. Obviously you want to generally call the base class's WndProc method so that the Control can process all the messages you are not trapping.
Thanks, and it works.
I was looking for a way to subclass it without creating an own class because this way, the control is not displayed in the designer (as I create it dynamically). It does work the way you describe, though. By the way, I love your controls, they are great.