Since you pretty much have to run a message pump in order to have a window, you might as well use that pump to handle keyboard and mouse input as well.   It's entirely up to your pump whether you hand keyboard events on to a child window, you can handle them in the pump if you prefer.
Your typical message pump looks like this:
while (GetMessage(&msg, NULL, 0, 0))
{
    if (WM_QUIT == msg.message)
       break;
    TranslateMessage(&msg); // post a WM_CHAR message if this is a WM_KEYDOWN
    DispatchMessage(&msg);  // this sends messages to the msg.hwnd
}
For a game, your pump might look more like this
while (true)
{
   if (PeekMessage(&msg, NULL, 0, 0, PM_REMOVE | PM_NOYIELD))
   {
      bool fHandled = false;
      if (msg.message >= WM_MOUSEFIRST && msg.message <= WM_MOUSELAST)
         fHandled = MyHandleMouseEvent(&msg);
      else if (msg.message >= WM_KEYFIRST && msg.message <= WM_KEYLAST)
         fHandled = MyHandleKeyEvent(&msg);
      else if (WM_QUIT == msg.message)
         break;
      if ( ! fHandled)
      {
         TranslateMessage(&msg);
         DispatchMessage(&msg);
      }
   }
   else
   {
       // if there are no more messages to handle right now, do some
       // game slice processing.
       //
   }
}
Of course, your actual pump will likely be even more complex than that, possibly with a MsgWaitForMultipleObjects so that you can wake periodically even if there a no messages to process, but immediatelly when there are messages.