Making Hotkey

I am making a program that needs to respond and pop-up to a hotkey.  I
have tried various methods.  One was to create a Windows Keyboard Hook,
but it only worked when the program was active, when it was not, the Msg
lParam and wParam were 0.  The only method that I've found works in any
application is to create a hotkey to it in Program Manager.  But this
does not work in Windows 95.

One thing I haven't tried is to create a system-wide windows message
hook to hook all keyboard messages, except I'm not sure how to go about
it.  Could somebody please give me a tip or a pointer to where I could
learn more about it (I learnt about the Keyboard Hook from TC++).