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Do you use wizard to add handlers to your dialog class?

you should have these things:

declaration in header file:
afx_msg void OnKeyDown(UINT nChar, UINT nRepCnt, UINT nFlags);

message map:...

Look, If you have made the dialog and select it that dialog have a focus, then press some key on the keyboard, message will be dispatched to your dialog.
You need to have OnKeyDown event handled:
...

Maybe this?

return FALSE; // return TRUE unless you set the focus to a control

Put it back to TRUE and see what is happening