例子是一个mfc的对话框，用vc调试器查看了一个程序从生成初始化到接受消息的流程。从产生到结束的基本流程是这样的：
KERNEL32->WinMainCRTStartup()->_tWinMain(开始)->AfxWinMain(开始)->AfxGetThread()->AfxWinInit()->InitApplication()->InitInstance()->DoModal()->RunModalLoop()->ExitInstance()->AfxWinMain(结束)->_tWinMain(结束)

1、KERNEL32
kernel32.dll是Windows9x/Me中非常重要的32位动态链接库文件，属于内核级文件。它控制着系统的内存管理、数据的输入输出操作和中断处理，当Windows启动时，kernel32.dll就驻留在内存中特定的写保护区域，使别的程序无法占用这个内存区域。

2、WinMainCRTStartup()函数
  程序默认的基地址（EXE文件默认为0x400000，DLL默认为x10000000），操作系统装载一个程序时总是试着先从这个基地址开始。一般Win32的程序，EXE的入口为WinMain，DLL的入口为DllEntryPoint。默认情况下，通过一个C的运行时库函数来实现：控制台程序采用mainCRTStartup (或wmainCRTStartup)去调用程序的main (或wmain)函数；Windows程序采用WinMainCRTStartup (或 wWinMainCRTStartup)调用程序的WinMain (或 wWinMain，必须采用__stdcall调用约定)；DLL采用_DllMainCRTStartup调用DllMain函数（必须采用__stdcall调用约定）。
它负责：
  * 检索指向新进程的完整命令行指针；
  * 检索指向新进程的环境变量的指针；
  * 对c/c++运行时的全局变量进行初始化；
  * 对c运行期的内存单元分配函数(比如malloc，calloc)和其他低层I/O例程使用的内存栈     进行初始化。
  * 为C++的全局和静态类调用构造函数。
  当这些初始化工作完成后，该启动函数就调用wWinMain函数进入应用程序的执行。
当wWinMain函数执行完毕返回时，wWinMainCRTStartup启动函数就调用c运行期的exit()函
数，将返回值(nMainRetVal)传递给它。
  之后exit()便开始收尾工作：
  * 调用由_onexit()函数调用和注册的任何函数。
  * 为C++的全局和静态类调用析构函数；
  * 调用操作系统的ExitProcess函数，将nMainRetVal传递给它，这使得操作系统能够撤销     进程并设置它的exit  代码。
最小体积的win32程序：(不要编译缺省库)
#pragma comment (linker, "/SUBSYSTEM:WINDOWS")
#pragma comment (linker, "/NODEFAULTLIB")
int WinMainCRTStartup()
{
 return 0;
}

3、WinMain()函数
_tWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance,
 LPTSTR lpCmdLine, int nCmdShow)
{
 // call shared/exported WinMain
 return AfxWinMain(hInstance, hPrevInstance, lpCmdLine, nCmdShow);
}

4、AfxWinMain()函数
int AFXAPI AfxWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance,
 LPTSTR lpCmdLine, int nCmdShow)
{
 ASSERT(hPrevInstance == NULL);

 int nReturnCode = -1;
 CWinThread* pThread = AfxGetThread();
 CWinApp* pApp = AfxGetApp();

 // AFX internal initialization
 if (!AfxWinInit(hInstance, hPrevInstance, lpCmdLine, nCmdShow))
  goto InitFailure;

 // App global initializations (rare)
 if (pApp != NULL && !pApp->InitApplication())
  goto InitFailure;

 // Perform specific initializations
 if (!pThread->InitInstance())
 {
  if (pThread->m_pMainWnd != NULL)
  {
   TRACE0("Warning: Destroying non-NULL m_pMainWnd\n");
   pThread->m_pMainWnd->DestroyWindow();
  }
  nReturnCode = pThread->ExitInstance();
  goto InitFailure;
 }
 nReturnCode = pThread->Run();

InitFailure:
#ifdef _DEBUG
 // Check for missing AfxLockTempMap calls
 if (AfxGetModuleThreadState()->m_nTempMapLock != 0)
 {
  TRACE1("Warning: Temp map lock count non-zero (%ld).\n",
   AfxGetModuleThreadState()->m_nTempMapLock);
 }
 AfxLockTempMaps();
 AfxUnlockTempMaps(-1);
#endif

 AfxWinTerm();
 return nReturnCode;
}

5、AfxGetThread()函数
CWinThread* AFXAPI AfxGetThread()
{
 // check for current thread in module thread state
 AFX_MODULE_THREAD_STATE* pState = AfxGetModuleThreadState();
 CWinThread* pThread = pState->m_pCurrentWinThread;

 // if no CWinThread for the module, then use the global app
 if (pThread == NULL)
  pThread = AfxGetApp();

 return pThread;
}

6、AfxWinInit()函数
BOOL AFXAPI AfxWinInit(HINSTANCE hInstance, HINSTANCE hPrevInstance,
 LPTSTR lpCmdLine, int nCmdShow)
{
 ASSERT(hPrevInstance == NULL);

 // handle critical errors and avoid Windows message boxes
 SetErrorMode(SetErrorMode(0) |
  SEM_FAILCRITICALERRORS|SEM_NOOPENFILEERRORBOX);

 // set resource handles
 AFX_MODULE_STATE* pModuleState = AfxGetModuleState();
 pModuleState->m_hCurrentInstanceHandle = hInstance;
 pModuleState->m_hCurrentResourceHandle = hInstance;

 // fill in the initial state for the application
 CWinApp* pApp = AfxGetApp();
 if (pApp != NULL)
 {
  // Windows specific initialization (not done if no CWinApp)
  pApp->m_hInstance = hInstance;
  pApp->m_hPrevInstance = hPrevInstance;
  pApp->m_lpCmdLine = lpCmdLine;
  pApp->m_nCmdShow = nCmdShow;
  pApp->SetCurrentHandles();
 }

 // initialize thread specific data (for main thread)
 if (!afxContextIsDLL)
  AfxInitThread();

 return TRUE;
}

7、InitApplication() 函数
BOOL CMy1App::InitApplication()
{
 // TODO: Add your specialized code here and/or call the base class
 AfxMessageBox("InitApplication");
 return CWinApp::InitApplication();
}
BOOL CWinApp::InitApplication()
{
 if (CDocManager::pStaticDocManager != NULL)
 {
  if (m_pDocManager == NULL)
   m_pDocManager = CDocManager::pStaticDocManager;
  CDocManager::pStaticDocManager = NULL;
 }

 if (m_pDocManager != NULL)
  m_pDocManager->AddDocTemplate(NULL);
 else
  CDocManager::bStaticInit = FALSE;

 return TRUE;
}

8、InitInstance()函数
AfxWinMain函数里面的if (!pThread->InitInstance())会调用程序CMy1App的InitInstance函数：
BOOL CMy1App::InitInstance()
{
 AfxEnableControlContainer();
AfxMessageBox("InitInstance");
 // Standard initialization
 // If you are not using these features and wish to reduce the size
 //  of your final executable, you should remove from the following
 //  the specific initialization routines you do not need.

#ifdef _AFXDLL
 Enable3dControls();   // Call this when using MFC in a shared DLL
#else
 Enable3dControlsStatic(); // Call this when linking to MFC statically
#endif

 CMy1Dlg dlg;//调用CMy1Dlg的构造函数
 m_pMainWnd = &dlg;
 int nResponse = dlg.DoModal();
 if (nResponse == IDOK)
 {
  // TODO: Place code here to handle when the dialog is
  //  dismissed with OK
 }
 else if (nResponse == IDCANCEL)
 {
  // TODO: Place code here to handle when the dialog is
  //  dismissed with Cancel
 }

 // Since the dialog has been closed, return FALSE so that we exit the
 //  application, rather than start the application's message pump.
 return FALSE;
}

9、AfxWinMain()函数里面的主要的循环体，在这里：
        if (!pThread->InitInstance())//主要是模式对话框调用，对话框关闭以后InitInstance函数才会结束
 {
  if (pThread->m_pMainWnd != NULL)
  {
   TRACE0("Warning: Destroying non-NULL m_pMainWnd\n");
   pThread->m_pMainWnd->DestroyWindow();
  }
  nReturnCode = pThread->ExitInstance();
  goto InitFailure;
 }
 nReturnCode = pThread->Run();//非模式对话框和一般程序调用这个循环

InitInstance函数调用了dlg.DoModal()函数，以下是DoModal()函数：
int CDialog::DoModal()
{
 // can be constructed with a resource template or InitModalIndirect
 ASSERT(m_lpszTemplateName != NULL || m_hDialogTemplate != NULL ||
  m_lpDialogTemplate != NULL);

 // load resource as necessary
 LPCDLGTEMPLATE lpDialogTemplate = m_lpDialogTemplate;
 HGLOBAL hDialogTemplate = m_hDialogTemplate;
 HINSTANCE hInst = AfxGetResourceHandle();
 if (m_lpszTemplateName != NULL)
 {
  hInst = AfxFindResourceHandle(m_lpszTemplateName, RT_DIALOG);
  HRSRC hResource = ::FindResource(hInst, m_lpszTemplateName, RT_DIALOG);
  hDialogTemplate = LoadResource(hInst, hResource);
 }
 if (hDialogTemplate != NULL)
  lpDialogTemplate = (LPCDLGTEMPLATE)LockResource(hDialogTemplate);

 // return -1 in case of failure to load the dialog template resource
 if (lpDialogTemplate == NULL)
  return -1;

 // disable parent (before creating dialog)
 HWND hWndParent = PreModal();
 AfxUnhookWindowCreate();
 BOOL bEnableParent = FALSE;
 if (hWndParent != NULL && ::IsWindowEnabled(hWndParent))
 {
  ::EnableWindow(hWndParent, FALSE);
  bEnableParent = TRUE;
 }

 TRY
 {
  // create modeless dialog
  AfxHookWindowCreate(this);
  if (CreateDlgIndirect(lpDialogTemplate,
      CWnd::FromHandle(hWndParent), hInst))//创建对话框的窗口
  {
   if (m_nFlags & WF_CONTINUEMODAL)
   {
    // enter modal loop
    DWORD dwFlags = MLF_SHOWONIDLE;
    if (GetStyle() & DS_NOIDLEMSG)
     dwFlags |= MLF_NOIDLEMSG;
    VERIFY(RunModalLoop(dwFlags) == m_nModalResult);//这里是真正的循环RunModalLoop
   }

   // hide the window before enabling the parent, etc.
   if (m_hWnd != NULL)
    SetWindowPos(NULL, 0, 0, 0, 0, SWP_HIDEWINDOW|
     SWP_NOSIZE|SWP_NOMOVE|SWP_NOACTIVATE|SWP_NOZORDER);
  }
 }
 CATCH_ALL(e)
 {
  DELETE_EXCEPTION(e);
  m_nModalResult = -1;
 }
 END_CATCH_ALL

 if (bEnableParent)
  ::EnableWindow(hWndParent, TRUE);
 if (hWndParent != NULL && ::GetActiveWindow() == m_hWnd)
  ::SetActiveWindow(hWndParent);

 // destroy modal window
 DestroyWindow();
 PostModal();

 // unlock/free resources as necessary
 if (m_lpszTemplateName != NULL || m_hDialogTemplate != NULL)
  UnlockResource(hDialogTemplate);
 if (m_lpszTemplateName != NULL)
  FreeResource(hDialogTemplate);

 return m_nModalResult;
}

模式对话框调用的循环函数RunModalLoop()函数如下：
int CWnd::RunModalLoop(DWORD dwFlags)
{
 ASSERT(::IsWindow(m_hWnd)); // window must be created
 ASSERT(!(m_nFlags & WF_MODALLOOP)); // window must not already be in modal state

 // for tracking the idle time state
 BOOL bIdle = TRUE;
 LONG lIdleCount = 0;
 BOOL bShowIdle = (dwFlags & MLF_SHOWONIDLE) && !(GetStyle() & WS_VISIBLE);
 HWND hWndParent = ::GetParent(m_hWnd);
 m_nFlags |= (WF_MODALLOOP|WF_CONTINUEMODAL);
 MSG* pMsg = &AfxGetThread()->m_msgCur;

 // acquire and dispatch messages until the modal state is done
 for (;;)
 {
  ASSERT(ContinueModal());

  // phase1: check to see if we can do idle work
  while (bIdle &&
   !::PeekMessage(pMsg, NULL, NULL, NULL, PM_NOREMOVE))
  {
   ASSERT(ContinueModal());

   // show the dialog when the message queue goes idle
   if (bShowIdle)
   {
    ShowWindow(SW_SHOWNORMAL);
    UpdateWindow();
    bShowIdle = FALSE;
   }

   // call OnIdle while in bIdle state
   if (!(dwFlags & MLF_NOIDLEMSG) && hWndParent != NULL && lIdleCount == 0)
   {
    // send WM_ENTERIDLE to the parent
    ::SendMessage(hWndParent, WM_ENTERIDLE, MSGF_DIALOGBOX, (LPARAM)m_hWnd);
   }
   if ((dwFlags & MLF_NOKICKIDLE) ||
    !SendMessage(WM_KICKIDLE, MSGF_DIALOGBOX, lIdleCount++))
   {
    // stop idle processing next time
    bIdle = FALSE;
   }
  }

  // phase2: pump messages while available
  do
  {
   ASSERT(ContinueModal());

   // pump message, but quit on WM_QUIT
   if (!AfxGetThread()->PumpMessage())//主要在这里循环
   {
    AfxPostQuitMessage(0);
    return -1;
   }

   // show the window when certain special messages rec'd
   if (bShowIdle &&
    (pMsg->message == 0x118 || pMsg->message == WM_SYSKEYDOWN))
   {
    ShowWindow(SW_SHOWNORMAL);
    UpdateWindow();
    bShowIdle = FALSE;
   }

   if (!ContinueModal())
    goto ExitModal;

   // reset "no idle" state after pumping "normal" message
   if (AfxGetThread()->IsIdleMessage(pMsg))
   {
    bIdle = TRUE;
    lIdleCount = 0;
   }

  } while (::PeekMessage(pMsg, NULL, NULL, NULL, PM_NOREMOVE));
 }

ExitModal:
 m_nFlags &= ~(WF_MODALLOOP|WF_CONTINUEMODAL);
 return m_nModalResult;
}

一般程序调用的循环函数Run函数如下：
int CWinThread::Run()
{
 ASSERT_VALID(this);

 // for tracking the idle time state
 BOOL bIdle = TRUE;
 LONG lIdleCount = 0;

 // acquire and dispatch messages until a WM_QUIT message is received.
 for (;;)
 {
  // phase1: check to see if we can do idle work
  while (bIdle &&
   !::PeekMessage(&m_msgCur, NULL, NULL, NULL, PM_NOREMOVE))
  {
   // call OnIdle while in bIdle state
   if (!OnIdle(lIdleCount++))
    bIdle = FALSE; // assume "no idle" state
  }

  // phase2: pump messages while available
  do
  {
   // pump message, but quit on WM_QUIT
   if (!PumpMessage())
    return ExitInstance();

   // reset "no idle" state after pumping "normal" message
   if (IsIdleMessage(&m_msgCur))
   {
    bIdle = TRUE;
    lIdleCount = 0;
   }

  } while (::PeekMessage(&m_msgCur, NULL, NULL, NULL, PM_NOREMOVE));
 }

 ASSERT(FALSE);  // not reachable
}

==========
我认为是更加完整的应该是_DllMainCRTStartup-> WinMainCRTStartup(void)->()->_tWinMain(开始)->AfxWinMain(开始)->AfxGetThread()->AfxWinInit()->InitApplication()->InitInstance()->DoModal()->RunModalLoop()->ExitInstance()->AfxWinMain(结束)->_tWinMain(结束)

参考http://www.cppblog.com/citywanderer/articles/8716.html