One more thing I forgot to say. If default function of the alt key is to open menu, that it’s defined somewhere in your game, settings or the engine. If you try default loop in win32 api app with an empty window, alt key does nothing and you need actually bind it to change its behaviour to show menu. So I recommend to blame settings or an engine first before disabling events on so low level.
Also such way of disabling events would prevent you of porting your app to other OSes like Linux and macOS