End Google Ads 201810 - BS.net 01 --> straight win32 app

I used the URLDownloadToFile to download a program file, probably a mistake, but a start at least. I wrote my IBindStatusCallback, and attached it to the URL program.

So I have a Window, not a dialog box, probably another mistake, I call the function in my window, and the function runs, but the wndproc in the window stops running, so my cancel button won't fire.

I tried to think of a way, that allows the OnProcess loop to give control back to the window, so I can capture the cancel button, but no luck.

Any points in the right direction would be helpful. I did see the data exchange thing, but thought it was for dialog boxes. This is my first experience in this.