MFC user defined message

I'd like to create a user defined message to have a thread pass a message back to the main MFC application.  

My understanding of how to do this is as follows;

1. Register the message:
static const int WMU_RUN_COMPLETE = RegisterWindowMessage("WMU_RUN_COMPLETE");

2. Declare the function that will eventually handle the message;
afx_msg LRESULT OnRunComplete(WPARAM wParam, LPARAM lParam);

3. Add it to the message map;
ON_REGISTERED_MESSAGE (WMU_RUN_COMPLETE, OnRunComplete)

4. Register the same message name in my thread;
static const int WMU_RUN_COMPLETE = RegisterWindowMessage("WMU_RUN_COMPLETE");

5. Send the message from my thread;
SendMessage(hwnd, MY_WM_RUN_COMPLETE, (WPARAM)0, (LPARAM)0);

I haven't even gotten to steps 4 and 5 yet.  When I compile, I get an undeclared identifier, WMU_RUN_COMPLETE, because of the reference in the message map.

Where am I supposed to put the WMU_RUN_COMPLETE declaration and RegisterWindowMessage?

Note, this is a dialog based application and not a full document view app.

This is the first time I've tried this, so any other comments would be appreciated.

Thanks.