Salut Laurent,
please read my response to Tarun Patel's response to your original post on this subject. I tried exactly what you are suggesting, and although it appears to work at first (I even got it to create the child frames in the right place), other things went horribly wrong. Shame, it seemed a good idea. I really think the standard-MDI-with-pane-like-dockable-control-bars method is the easier of the two, as it does not make any attempt to re-route the MFC framework as this method does.

"The more they try to overtake the plumbing..." - Scotty in Star Trek III.