Well, the only way to solve the "Access is denied" error is to assign the user the appropriate rights / privileges. Note that this mechanism in XP and Vista idiffers so much ... so a lot of old "hook" things does not wokk in Vista anymore...
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I've ran the exe file of my compiled program as Administrator. Doesn't it give full privileges?
I did but, I don't have VS2008SP1, and I can't modify the code on the application that is supposed to receive the WM_NOTIFY message.
From what I understand, those exercises modify the code on the app in order to receive messages with any privilege.