How can a WndProc be created inside a component?

Currently I have a WndProc in my frmMain. It looks for WM_DEVICECHANGE
messages for connection and removal events for a USB/Serial device. My
frmMain uses a component to communicate with a USB/Serial device. I would
prefer that this component handle the WM_DEVICECHANGE messages internally
and only fires events to my frmMain when my USB device connects or
...