What is the difference between WM_QUIT, WM_CLOSE, and WM_DESTROY in a windows program?

They are totally different.

WM_CLOSE is sent to the window when it is being closed - when its "X" button is clicked, or "Close" is chosen from the window's menu, or Alt-F4 is pressed while the window has focus, etc. If you catch this message, this is your decision how to treat it - ignore it, or really close the window. By default, WM_CLOSE passed to DefWindowProc() causes the window to be destroyed.

WM_DESTROY is sent to the window when it starts to be destroyed. In this stage, in opposition to WM_CLOSE, you cannot stop the process, you can only make any necessary cleanup. When you catch WM_DESTROY, none of its child windows have been destroyed yet.

WM_NCDESTROY is sent to the window when it is finishing being destroyed. All of its child windows have been destroyed by this time.

WM_QUIT is not related to any window (the hwnd got from GetMessage() is NULL, and no window procedure is called). This message indicates that the message loop should be stopped and the application should exit. When GetMessage() reads WM_QUIT, it returns 0 to indicate that. Take a look at a typical message loop snippet - the loop is continued while GetMessage() returns non-zero.

WM_QUIT can be sent by the PostQuitMessage() function. This function is usually called when the main window receives WM_DESTROY (see a typical window procedure snippet).

First of all, the WM_CLOSE and WM_DESTROY messages are associated with particular windows whereas the WM_QUIT message is applicable to the whole application (well thread) and the message is never received through a window procedure (WndProc routine), but only through the GetMessage or PeekMessage functions.

In your WndProc routine the DefWindowProc function takes care of the default behavoir of these messages. The WM_CLOSE messages requests that the application should close and the default behavoir for this is to call the DestroyWindow function. Its when this DestroyWindow function is called that the WM_DESTROY message is sent. Notice that the WM_CLOSE is only a message requesting that you close (like WM_QUIT) - you don't actually have to exit/quit. But the WM_DESTROY message tells you that your window IS being closed and destroyed so you must cleanup any resources, handles etc.

Just so it doesn't get lost in the comments... don't forget about WM_CANCEL. When you click the close (x) button on an MFC dialog, it will certainly send WM_CLOSE. The default OnClose() function will then call the default (base class) OnCancel() function.

However, if you simply type the ESC key, this will lead to the closure of the dialog, but (as far as I can tell) without generating the WM_CLOSE event - it goes directly to the WM_CANCEL/OnCancel() mechanism.

I hereby invite the community to elaborate on this... or edit that elaboration into the accepted answer.