C++/Win32 messsage pump program flow when step in/through - c++

Question

So I have beginners knowledge of C++ (4 months daily study, so maybe slightly more than beginner but definitely very new) and I have started looking at some win API stuff and have a few blanks in my head.
I am sure there are many things wrong with the below, or better ways to do it, and that will come in time but I'd like to know why when I step through this code does it for instance loop a few times through the first WndProc definition before passing the control elsewhere, and seemingly cease to ever come into contact with other parts of the program.
Is windows looping through the code to check for events at high speed then moving control else where?
I am sure with your knowledge you may want to even correct my question, so all information that you find related to what I think I'm asking here is appreciated.
Forgive the comments, they're to future self ;)
#include <Windows.h>
#include <string>
LRESULT CALLBACK WndProc(HWND hWnd, UINT msg, WPARAM wParam, LPARAM lParam )
{
switch (msg)
{
case WM_CLOSE:
PostQuitMessage(69);
break;
}
return DefWindowProc(hWnd, msg, wParam, lParam);
}
int CALLBACK WinMain(
HINSTANCE hInstance,
HINSTANCE hPrevInstance,
LPSTR lpCmdLine,
int nCmdShow)
{
const auto CLASSNAME = "hwWindow";
//register window class
WNDCLASSEX wc = {};
wc.cbSize = sizeof(wc);
wc.style = CS_OWNDC;
wc.lpfnWndProc = WndProc;
wc.cbClsExtra = 0;
wc.cbWndExtra = 0;
wc.hInstance = nullptr;
wc.hIcon = nullptr;
wc.hCursor =nullptr;
wc.hbrBackground = nullptr;
wc.lpszMenuName = nullptr;
wc.lpszClassName = CLASSNAME;
wc.hIconSm = nullptr;
RegisterClassEx(&wc);
//create window instance
HWND RyanWin = CreateWindowEx(
0,
CLASSNAME,
"Hacker",
WS_CAPTION | WS_MINIMIZEBOX | WS_SYSMENU,
1200, 1200, 640, 480,
nullptr,
nullptr,
hInstance,
nullptr);
HWND hWnd = CreateWindowEx(
0,
CLASSNAME,
"Happy HW Windows",
WS_CAPTION | WS_MINIMIZEBOX | WS_SYSMENU,
200, 200, 640, 480,
nullptr,
nullptr,
hInstance,
nullptr);
ShowWindow(hWnd, SW_SHOW);
ShowWindow(RyanWin , SW_SHOW);
MSG msg;
BOOL gResult;
while ((gResult = GetMessage(&msg, nullptr, 0, 0)) > 0)
{
TranslateMessage(&msg);
UINT m = msg.message;
DispatchMessage(&msg);
}
if (gResult == -1) { return -1; }
else { return msg.wParam; }
return 0;
}