Probably irrelevant here, but `keyboard ghosting` is a thing.

How do I handle multiple keystrokes in Windows?

So is this a Windows thing? Should I do it in another way?

No. There is no Win32 documentation stating such thing. If you're holding a key you'll just receive multiple WM_KEYDOWN events.

No. When you press a key, a WM_KEYDOWN is sent, and when you release the key, a WM_KEYUP is sent. The WM_KEYPRESSED message repeats during the hold, but it is less useful for game input.

No. When you press a key, a WM_KEYDOWN is sent, and when you release the key, a WM_KEYUP is sent. The WM_KEYPRESSED message repeats during the hold, but it is less useful for game input.

Further WM_KEYDOWN messages will only be posted at the auto-repeat rate; there will usually not be a new one in the queue every update.

Additionally, since those messages are tied to the auto-repeat functionality, they will only be sent for the last key pressed, and only as long as that key is held.

Here is my loop.

//messageloop
while (msg.message != WM_QUIT)
{
	//send message to windowproc-function
	while (PeekMessageW(&msg, 0, 0, 0, PM_REMOVE))
	{
		TranslateMessage(&msg);
		DispatchMessageW(&msg);
	}

	//update
	if (!System::Update(Update))
	{
		//Exit the application on fail
		System::Exit(-1);
	}

	//render
	if (!System::Render(Render))
	{
		//Exit the application on fail
		System::Exit(-2);
	}

	//clear this frames key actions so next one's empty
	Input::keysDown.Clear();
	Input::keysUp.Clear();
}

Here is the messagehandling:

case WM_KEYDOWN:
	Input::keysDown.Add(System::CheckKey(wParam));
	return 0;

case WM_KEYUP:
	Input::keysUp.Add(System::CheckKey(wParam));
	return 0;