This will show the window in the main Spy++ window treeview.
Click the Synchronize button on the Window Properties dialog.
In the Message Properties dialog, click the Window Handle link (this will be the handle for the window that received the message).
Select the WM_HOTKEY line in the Messages (All Windows) window, right click, and select Properties.
Press the hotkey in question ( Win + R, for example).
Select WM_HOTKEY in the listbox, or check Keyboard in Message Groups (if you're OK with more potential noise).
Check All Windows in System in the Additional Windows frame.
In the menu bar, select Spy -> Log messages.
Run the tool (for me, it's at C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\Common7\Tools\spyxx_amd64.exe, or use spyxx.exe to monitor 32-bit processes).
One possible way is to use the Visual Studio tool Spy++. also copied here from since this page seems to come up first in search results: This works for me in Win10 (and probably all other even vaguely-recent versions of Windows).