Passing CString argument in PostMessage

You don't.
When you post a message, you don't know when it will be received. It can be received after the string you want to pass is already out of scope.
If you're posting a message to another window in the same process, use the source/sink idiom (AKA producer/consumer):

void producer()
{
    wchar_t * wstring = new wchar_t[80];
    wcscpy(wstring, L"HELLO");
    ::PostMessage(HWND, MY_CUSTOM_MESSAGE, 0, (LPARAM) wstring);
    // DO NOT DELETE wstring;
}

class Consumer
{
    LRESULT On_MyCustomMessage(WPARAM /*notused*/, LPARAM lpWstring)
    {
        wchar_t *pString = (wchar_t *) lpWstring;
        // Do something with pString... You can even pass it to a CStringW constructor. 
        delete[] pString; // and don't forget this!
        return 0L;
    }   
};

If you're using CString, see the AllocSysString() member function. BSTRs are meant to be passed around.

Hope this helps,
Pablo.