All it means is that any messages your hookProc code gets passed into it should be passed to the next hook in the chain using CallNextHookEx. You can find an example of that
here[
^] in globalKeyboardHook.cs.
Usually, you don't modify the values you get passed into your hookProc, but there's nothing that says you can't modify the messages before you pass them or filter some out by not passing them at all. Keep in mind that this would mean your app doesn't really "play nice" with other apps or even the system itself.