As far as I know, interception should still pass the message down the chain. You can set a rule for which messages to intercept, then catch your messages, handle them and delete them (if you don't want them showing up to the end user after your app has used them). I'm not totally sure on this, but this was my understanding of it when I briefly glanced at it.
http://blogs.msdn.com/dglover/archiv...26/443227.aspx That's a quick page I had looked at before about interception. It's dated, but should still be relevant, also check out the MSDN pages on it.