The latest version of this topic can be found at Visual Studio 2017 Documentation. Extension DLLs use the CWinApp-derived class of the client application. They must not have their own CWinApp-derived class.
Regular DLLs must have a CWinApp-derived class and a single object of that application class, as does an MFC application. Unlike the CWinApp object of an application, the CWinApp object of the DLL does not have a main message pump.
Note that because the CWinApp::Run mechanism does not apply to a DLL, the application owns the main message pump. If the DLL opens modeless dialog boxes or has a main frame window of its own, the application's main message pump must call a routine exported by the DLL, which in turn calls the CWinApp::PreTranslateMessage member function of the DLL's application object.