From http://msdn.microsoft.com/library/en-us/wceui/html/_wcesdk_Programming_an_Input_Panel.asp
When the user changes the state of the input panel, the OS sends out a WM_SETTINGCHANGE message to all of the active applications. This wParam parameter of this message is the value SPI_SETSIPINFO in its wParam parameter.
See also http://msdn.microsoft.com/library/en-us/directx9_c/Using_an_Input_Method_Editor_in_a_Game.asp
The IMM sends a WM_INPUTLANGCHANGE message to the active window of an application after the input locale has been changed by the user with a key combination (usually ALT+SHIFT), or with the input locale indicator on the taskbar or language bar. The language bar is an on-screen control with which the user can configure a text service.