The thread and process that create a window own it. Most functions that modify a window will only work if they are called by the thread that created the window. This ownership by a thread or process is not related to the owner-owned relationship between windows.
When a thread or process terminates, Windows CE removes all windows that are owned by that thread or process. Windows that are removed when a thread or process terminates do not always receive WM_DESTROY messages. For this reason, it is a good idea for you to destroy your windows explicitly, rather than depending on the system to do it.