I installed Spy++ from VS.NET, and it worked rather well. I found what I needed with minimal fuss. Spy++ isn't a bad application, overall.
I did do some digging and found a free message spy application. I haven't tried it, but it looks promising and is billed to be better than Spy++. Check out Winspector and try it for yourself.
Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in any way.