Actually I'm not entirely sure why I suggested that.
Subclassing is where you basically hijack a window's message processing function so that you can handle its messages yourself and pass on any you don't want to handle. This is useful if you register event notification with a particular window that you didn't create yourself. However, in this case I don't think that'll help you.
I've had about 1 hours sleep - yes I'll blame that. Sorry.
Something useful that I can tell you (although you may already know it) is that in order to have your own controls in a DarkGDK application you might have to implement a message pump that is called often, unless DarkGDK dispatches messages for all windows already.
If you're trying to have the main window act as a child to another window, have you tried using
SetParent?