How does the Windows GetMessage function work in C

Question

#include <windows.h>
#include <stdio.h>

// Keyboard hook handle
HHOOK keyboardHook;

// Callback function declaration for keyboard events
LRESULT CALLBACK KeyboardProc(int nCode, WPARAM wParam, LPARAM lParam) {
    if (nCode == HC_ACTION) {
        PKBDLLHOOKSTRUCT p = (PKBDLLHOOKSTRUCT) lParam;
        if (wParam == WM_KEYDOWN) {
            // Here you can handle the key press
            printf("Key Pressed: %d\n", p->vkCode);
            // Example: Quit if the user presses the 'Q' key
            if(p->vkCode == 'Q') {
                PostQuitMessage(0);
            }
        }
    }
    // return CallNextHookEx(keyboardHook, nCode, wParam, lParam);
}

int main() {
    MSG msg;
    HINSTANCE hInstance = GetModuleHandle(NULL);

    // Set the low-level keyboard hook
    keyboardHook = SetWindowsHookEx(WH_KEYBOARD_LL, KeyboardProc, hInstance, 0);

    GetMessage(&msg, NULL, 0, 0);

    // Remove the keyboard hook when the application exits
    UnhookWindowsHookEx(keyboardHook);

    return 0;
}

In this code, when I run with GetMessage(&msg, NULL, 0, 0), character codes print to the console. When I get rid of GetMessage(&msg, NULL, 0, 0), it closes the hook right after it sets it and exits the program (i.e. nothing prints to the console). Additionally, when I use Sleep(1000) or Sleep in a while loop, nothing prints to console. So, what is GetMessage actually doing here?

For example, when it receives a message (key press), it calls the callback function? I don't understand how GetMessage connects to the hook and callback function.