How to use SetWindowsHookEx function in self process?

BOOL SetHook(DWORD dwThreadID, DWORD dwProcID)
{
	if (0 == dwThreadID)
	{
		return FALSE;
	}
	g_dwTarProcId = dwProcID;
	g_hHook = SetWindowsHookEx(WH_GETMESSAGE, GetMsgProc, 0, dwThreadID);

	return g_hHook != NULL;
}