<p>I need to understand the differences between windows main/mdi/child/dialogs.... how win32 messages should be propagated... why some messages are present in one type and not other...</p>

Im not a windows developer, but heres what I understand:
main window - toplevel container which you can active/see in the taskbar.
dialog - little box locking (if modal) your window, not seeable in the taskbar. Mostly used to display message to the user.
mdi (Multiple Document Interface) - Not directly a window but more a simple container for storing child windows. Each child window can be maximized/minimized/closed inside this container, but you wont find any of these in the taskbar.
http://en.wikipedia.org/wiki/Multiple_document_interface