How can I be notified when a new window is created on Win32?

Sure - you can write a CBT hook and watch for HCBT_CREATEWND. See also SetWindowsHookEx().

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Note that this will allow you to be notified of all window creation, before the windows being created are even fully initialized. If all you need are unowned, top-level windows, RichieHindle's suggestion may work better...

Use SetWindowsHookEx to set up a WH_SHELL hook and look for the HSHELL_WINDOWCREATED event.