I got no answer to my previous question, so I try again with a shorter
introduction to the same problem:

I have a frame window created from a MFC dll, with a dialog bar. I
could not get the keyboard navigation (tab, return, etc) in the dialog
bar at first so I searched for it in MSDN. It appears that I need to
call the CWinApp::PreTranslateMessage of my Dll from the main message
pump. I did that and now I get the keys working in the dialogbar,
except for one thing: when I open the window menu while the focus is
on the dialog bar, the menu opens but the key events (arrows, return)
that should go to the menu continue to go to the dialog bar instead.
What did I do wrong ?