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It is not possible to set a style (like WS_EX_TOPMOST) on an MDI child window so it stays on top of other MDI child windows. Instead, we have to mark a window to be the top most, and then manually bring that window to the top when another window is activated.

Microsoft has provided a nice article called How To Keep an MDI Window Always on Top (Q108315). But the solution(s) in the article are not implemented using the MFC framework.

Implement a global variable to remember the MDI window with the top-most status:

HWND CChildFrame::m_TopWindow = NULL; // There can only be one top-most window

Handle the WM_WINDOWPOSCHANGED mesage:

The WM_WINDOWPOSCHANGED message is sent to a window, when it changes size, position, or z-order. It is only sent to the window being activated (not to the window losing focus).

BEGIN_MESSAGE_MAP(CChildFrame, CMDIChildWnd)
 //{{AFX_MSG_MAP(CChildFrame)
 ON_WM_WINDOWPOSCHANGED()
 //}}AFX_MSG_MAP
END_MESSAGE_MAP()

void CChildFrame::OnWindowPosChanged(WINDOWPOS* lpwndpos)
{
 // This message-handler is sent to the window
 // being activated (Changing position, size or z-order)
 // Check if another window has the status of being top-most, instead of this one
 if (m_TopWindow!=NULL && m_TopWindow!=m_hWnd && ::IsWindow(m_TopWindow))
 {
  ::SetWindowPos(m_TopWindow, HWND_TOP, 0, 0, 0, 0, 
                 SWP_NOACTIVATE | SWP_NOMOVE | SWP_NOSIZE);
 }
 CMDIChildWnd::OnWindowPosChanged(lpwndpos);
}

Reset the global variable when the top-most window closes:

When the top-most window is closed, we must reset the global variable so other windows will not try to bring it up front.

BEGIN_MESSAGE_MAP(CChildFrame, CMDIChildWnd)
 //{{AFX_MSG_MAP(CChildFrame)
 ON_WM_CLOSE()
 //}}AFX_MSG_MAP
END_MESSAGE_MAP()

void CChildFrame::OnClose() 
{
 // Check if the top-most window is closing
 if (m_hWnd==m_TopWindow)
  m_TopWindow = NULL;
 CMDIChildWnd::OnClose();
}

Finally, we need to mark a window as being the top-most:

In this sample application, the newly opened window will get the status of being the top-most, and other existing windows will bring it to the front when they are activated.

BOOL CChildFrame::PreCreateWindow(CREATESTRUCT& cs)
{
 // TODO: Modify the Window class or styles here by modifying
 //  the CREATESTRUCT cs
 if( !CMDIChildWnd::PreCreateWindow(cs) )
     return FALSE;
 // The newly opened window will get the status of being the top-most
 m_TopWindow = m_hWnd;
 return TRUE;
}