#include <windows.h>

#define WM_MOUSEHOOK WM_USER+100

HINSTANCE tInstance;
HWND thwnd;
HHOOK hook;

LRESULT CALLBACK MouseProc(int nCode, WPARAM wParam, LPARAM lParam)
{
	if(nCode >= 0)
	{
		SendMessage(thwnd, WM_MOUSEHOOK, wParam, lParam);
	}
	return CallNextHookEx(NULL, nCode, wParam, lParam);
}

extern "C" _declspec(dllexport) void _stdcall SetHook(HWND hwnd)
{
	thwnd = hwnd;
	hook = SetWindowsHookEx(WH_MOUSE, MouseProc, tInstance, NULL);
}

extern "C" _declspec(dllexport) void _stdcall UnSetHook()
{
	UnhookWindowsHookEx(hook);
}

BOOL WINAPI DllMain (HINSTANCE hInst, DWORD reason, LPVOID reserved)
{
    tInstance = hInst;
    return TRUE;
}

extern "C" _declspec(dllimport) void _stdcall SetHook(HWND list);
extern "C" _declspec(dllimport) void _stdcall UnSetHook();

#define WM_MOUSEHOOK WM_USER+100

BOOL CALLBACK WndProc(HWND hwnd, UINT message, WPARAM wParam, LPARAM lParam)
{
	switch(message)
	{
	case WM_INITDIALOG:
		SetHook(hwnd);
		return TRUE; //WM_INITDIALOG
	case WM_CLOSE:
		UnSetHook();
		EndDialog(hwnd, 0);
		return TRUE; //WM_CLOSE
	case WM_MOUSEHOOK:
                [...]
		return TRUE; //WM_MOUSEHOOK
	}
	return FALSE;
}

Woran könnte das liegen?

Hier mal ein kleines Beispiel:

#include <stdio.h>
#include <windows.h>

HHOOK maus;
int i=0;

__declspec (dllexport) LRESULT CALLBACK mausaktion(int  nCode, WPARAM wParam, LPARAM lParam)
{
	if (nCode < 0)
		return -1;

	if (nCode == HC_ACTION)
		{
			printf("%d: maus aktion\n", i);
			i++;
		}

	return(CallNextHookEx(maus, nCode, wParam, lParam));
}

void hook(void)
{
	maus=SetWindowsHookEx(WH_MOUSE_LL,(HOOKPROC)mausaktion,GetModuleHandle(0),0);
}

void unhook(void)
{
	UnhookWindowsHookEx(maus);
}

int main(int argc,char *argv[])
{
	MSG msg;

	hook();
	while (GetMessage(&msg,NULL,0,0))
		{
			TranslateMessage(&msg);
			DispatchMessage(&msg);
		}
	unhook();
	return(0);
}

Alles weitere steht in der MSDN Library:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/winui/winui/windowsuserinterface/windowing/hooks/hookreference/hookfunctions/mouseproc.asp
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/winui/winui/windowsuserinterface/windowing/hooks/hookreference/hookstructures/msllhookstruct.asp