CWnd* m_pMainWnd; // main window (usually same AfxGetApp()->m_pMainWnd)
...
m_pMainWnd = &dlg;
Use this data member to store a pointer to your thread’s main window object. The Microsoft Foundation Class Library will automatically terminate your thread when the window referred to by m_pMainWnd is closed. If this thread is the primary thread for an application, the application will also be terminated. If this data member is NULL, the main window for the application’s CWinApp object will be used to determine when to terminate the thread. m_pMainWnd is a public variable of type CWnd*.
Typically, you set this member variable when you override InitInstance. In a worker thread, the value of this data member is inherited from its parent thread.
用该成员变量去存储你的线程主窗口对象。当和m_pMainWnd 相关的窗口被关闭后，MFC会自动终止你的线程。如果该线程是应用程序主线程，程序也将会被终止。如果该数据成员为NULL，应用程序CWinApp对象的主窗口将用来决定什么时候去终止线程。m_pMainWnd是一个CWnd*类型的public变量。
很明显，你需要在重载InitInstance时为m_pMainWnd赋值。在工作线程中，m_pMainWnd自动继承其父线程的值。