Windows Messages / Extend 10.0.1

Hello,
we have integrated a report generator into our COBOL application (List & Label of Combit) via a DLL. This works smoothly for years.
Now we want to realize a sequence where the report generator send us Messages via "Windows Messages" back so that we can initiate new actions in COBOL.
Can I noticed this news about a EVENT Procedure at the window? Has this window to be "modeless" and  the DLL-Call a "thread"?
Or must I wait on a ACCEPT (... allowing messages ...) in COBOL?
Alternatively, you can also use callback routines for the report generator. What is that and does it work with COBOL?
Unfortunately there are no COBOL users in the report generator Forum or do not want to do so much.

Regards
Frank-Peter Clees