Here:
http://msdn.microsoft.com/en-us/library/ms645607%28v=vs.85%29.aspx

It mentions that the wParam indicates what virtual keys are down. It can be one OR MORE of the values.

So I assume that means it's a bitmask, it looks like it anyway, but how would I extract the information for each key?

Let's say if I wanted to know if MK_CONTROL was down (while others could potentially also be down), what's the best way of doing that?
Should I... take MK_CONTROL, then bitwise AND it with wParam and if the result equals MK_CONTROL then MK_CONTROL is down?
Is there another way?

That's correct, if(wParam & MK_CONTROL) controlKeyIsDown();

Cool, got it working there too.

One more question though: I know WM_KEYDOWN repeats if a key is held, but does WM_LBUTTONDOWN do the same thing?

The lParam is WM_KEYDOWN lets you know if it was held but I don't see anything like that on MSDN for WM_LBUTTONDOWN so it seems like it doesn't.

In my experience, all mouse button down events arent repeated. You could try just to be sure anyways...

Cool, certainly looks that way anyway.