I set up Rawinput to process mouse events like this

        m_rawSize = 0;
        m_pRaw = 0;
        RAWINPUTDEVICE pMouseRid[1];
        pMouseRid->usUsagePage = 0x01;
        pMouseRid->usUsage = 0x02;
        pMouseRid->dwFlags = 0;//RIDEV_NOLEGACY;
        pMouseRid->hwndTarget = m_hwnd;
        if(!RegisterRawInputDevices(pMouseRid, 1, sizeof(RAWINPUTDEVICE)))
        {
            IG_ERROR("RegisterRawInputDevices() failed!");
            return false;
        }
        else
        {
            return true;
        }

And I listen to them like this

UINT dwSize = 0;
        UINT result = GetRawInputData((HRAWINPUT)p_lParam, RID_INPUT, NULL, &dwSize, sizeof(RAWINPUTHEADER));
        if(result != 0)
        {
            IG_WARNING("GetRawInputData() failed (Result " << result << ", lParam " << p_lParam << ").");
            return;
        }
        if(m_rawSize < dwSize)
        {
            SAFE_DELETE_ARRAY(m_pRaw);
            m_pRaw = (RAWINPUT*)(IG_NEW unsigned char[dwSize]);
            m_rawSize = dwSize;
            if(!m_pRaw)
            {
                IG_WARNING("Failed to allocate space.");
                return;
            }
        }
        if(m_pRaw) 
        {
            result = GetRawInputData((HRAWINPUT)p_lParam, RID_INPUT, m_pRaw, &dwSize, sizeof(RAWINPUTHEADER));
            if(result == (UINT)-1)
            {
                IG_WARNING("GetRawInputData() failed.");
                return;
            }
            if(result != dwSize)
            {
                IG_WARNING("GetRawInputData does not return correct size! Expected " << dwSize << ", got " << result);
                return;
            }
            else if(m_pRaw->header.dwType == RIM_TYPEMOUSE)
            {
                WmInput input;
                input.m_message = WM_INPUT;
                input.m_deltaX = m_pRaw->data.mouse.lLastX;
                input.m_deltaY = m_pRaw->data.mouse.lLastY;
                input.m_flags = m_pRaw->data.mouse.usButtonFlags;
                input.m_data = m_pRaw->data.mouse.usButtonData;
                IG_INFO("WM_INPUT " << m_pRaw->data.mouse.lLastX << ", " << m_pRaw->data.mouse.lLastY << ".");
                m_inputs.push(input);
            }
        }

But with this code the WM_INPUT events only come in as the cursor moves one pixel and the lLastX/Y vars do represent that on pixel. So it doesn't have the promised advantage of being more precise than the WM_MOUSEMOVE messages. Am I wrong? What is the proper way to get high resolution input from my mouse?

I have a Logitech G500 + Logitech Gaming Software 8.45.88 installed. The DPI is set to 1500.

And how do I achieve this?

Yes, I read that before. I think Windows does also use the the high precision data from your mouse and moves the cursor one pixel for each unit of mouse motion IF you set the pointer speed in your mouse properties to the 6th notch. I Set my mouse to 5700dpi and chose the 3rd notch. The cursor has now perfect speed for me in windows and rawinput gives more than pixel accuracy.

I think the MSDN article is a little bit confusing at that point.