while (<some criterion>)
{
   <do a small bit of processing>
   MFC_Yield ();
}

void  CMyClass::MFC_Yield ()
{
   MSG msg ;

   while (PeekMessage (&msg, 0, 0, 0, PM_NOREMOVE))
   {
      if (!(AfxGetApp()->PumpMessage()))
      { 
         // regenerate WM_QUIT for main message loop.
         ::PostQuitMessage(0);             
         break;         
      }     
   } 

   // let MFC do its idle processing    

   LONG lIdle = 0;
   while (AfxGetApp()->OnIdle(lIdle++));
}