How do I SendMessage() to a window created on another thread?

I have a situation where I want to SendMessage to a window that was created on another thread than the one that is calling SendMessage.

The default behaviour seems to be block forever and not work.

So I changed the call to PostMessage, which didn't block the sending thread, but the message never appears to arrive at the intended window.

So how do I SendMessage to a window created on a separate thread, or is this impossible?