Just invoke the CExtMenuControlBar::SetMdiWindowPopupName method. As its argument you need to specify a name of the top level menu item whose pop-up menu should contain a list of the currently open MDI windows:

m_wndMenuBar.SetMdiWindowPopupName( _T("Window") );

This can be done in the CMailFrame::OnCreate() method.

To insert the Windows… command that opens the dialog with a list of the currently open MDI windows, add a handler for the CExtPopupMenuWnd::g_nMsgPrepareMenu message in which you need to add a new menu item, e.g. specified with ID_WINDOWS_LIST. This code may look like:

LRESULT CMainFrame::OnExtMenuPrepare(WPARAM wParam, LPARAM lParam)
{
      wParam;
      lParam;
      
#if (defined _AFXDLL && !defined __STATPROFUIS_WITH_DLLMFC__)
 
     ////////////////////////////////////////////////////////
      // Add "Windows..." command
     ////////////////////////////////////////////////////////
      
      CExtPopupMenuWnd::MsgPrepareMenuData_t * pData =
            reinterpret_cast
            < CExtPopupMenuWnd::MsgPrepareMenuData_t * >
            ( wParam );
      ASSERT( pData != NULL );
      CExtPopupMenuWnd * pPopup = pData->m_pPopup;
      ASSERT( pPopup != NULL );
      
      INT nItemPos;
      INT nNewPos = -1;
      
      nItemPos = pPopup->ItemFindPosForCmdID( __ID_MDIWND_DLGWINDOWS );
      if( nItemPos >= 0 )
      {
            // "More Windows..." command found
            pPopup->ItemRemove( nItemPos );
            nNewPos = nItemPos;
      }
      else
      {
            int nMaxCmdID = 0;
            for( int nCmdID = __ID_MDIWNDLIST_FIRST;
                 nCmdID <= __ID_MDIWNDLIST_LAST;
                 nCmdID++ 
                )
            {
                  nItemPos = pPopup->ItemFindPosForCmdID( nCmdID );
                  if( nItemPos > 0 )
                  {
                        if( nCmdID > nMaxCmdID )
                        {
                              nMaxCmdID = nCmdID;
                              nNewPos = nItemPos;
                        }
                  }
            }
            if( nNewPos > 0 )
            {
                  pPopup->ItemInsert(
                        (UINT)CExtPopupMenuWnd::TYPE_SEPARATOR,
                        ++nNewPos
                        );
                  nNewPos++;
            }
      }
      if( nNewPos > 0 )
      {
            UINT nCmdID = ID_WINDOWS_LIST;
            CExtCmdItem * pCmdItem =
                  g_CmdManager->CmdGetPtr(
                  g_CmdManager->ProfileNameFromWnd(
                                 this->GetSafeHwnd() 
                                 ),
                  nCmdID
                  );
            if( pCmdItem == NULL ){
                  pCmdItem = 
                        g_CmdManager->CmdAllocPtr( 
                        g_CmdManager->ProfileNameFromWnd(
                                        this->GetSafeHwnd() 
                                       ), 
                        nCmdID 
                        );
            }
            ASSERT( pCmdItem != NULL );
            if( pCmdItem != NULL )
            {
                  CString sMoreWindows(_T("Windows..."));
                  CString sManageWindows(
                     _T("Manages the currently open windows")
                  );
                  pCmdItem->m_sMenuText = sMoreWindows;
                  pCmdItem->m_sToolbarText = pCmdItem->m_sMenuText;
                  pCmdItem->m_sTipTool = sManageWindows;
                  pCmdItem->m_sTipStatus = pCmdItem->m_sTipTool;
                  pCmdItem->StateSetBasic( true );
                  
                  pPopup->ItemInsert(
                        nCmdID,
                        nNewPos,
                        sMoreWindows,
                        NULL,
                        m_hWnd
                        );
            }
      }
      
#endif // #if (defined _AFXDLL && !defined __STATPROFUIS_WITH_DLLMFC__)
      return 1;
}

Then add a handler for the ID_WINDOWS_LIST command itself so that you can display the Windows... dialog:

BOOL CMainFrame::OnCmdMsg(
          UINT nID, 
          int nCode,
          void* pExtra,
          AFX_CMDHANDLERINFO* pHandlerInfo
) 
{
            if( nCode == CN_COMMAND )
            {
#if (defined _AFXDLL && !defined __STATPROFUIS_WITH_DLLMFC__)
#ifndef __EXT_MFC_NO_MDI_WINDOWS_LIST_DIALOG            
                        if( nID == ID_WINDOWS_LIST )
                        {
                                    CExtMdiWindowsListDlg dlg( this );
                                    dlg.DoModal();
                        }
#endif // #ifndef __EXT_MFC_NO_MDI_WINDOWS_LIST_DIALOG           
#endif // #if (defined _AFXDLL && !defined __STATPROFUIS_WITH_DLLMFC__)
            }
            return CMDIFrameWnd::OnCmdMsg(nID, nCode, pExtra, pHandlerInfo);
}

Create a class derived from CExtTabMdiWnd and implement the OnTabWndQueryItemText virtual method like as follows:

LPCTSTR CMyCustomTabMdiWnd::OnTabWndQueryItemText(              
    const CExtTabWnd::TAB_ITEM_INFO * pTii                      
    ) const                                                     
{                                                               
    ASSERT_VALID( pTii );                                       
HWND hWndMdiChild = (HWND)pTii->LParamGet();                    
    if( hWndMdiChild == NULL                                    
        || (! ::IsWindow(hWndMdiChild) )                        
        )                                                       
        return _T("");                                          
CWnd * pWnd = CWnd::FromHandle( hWndMdiChild );                 
    ASSERT( pWnd != NULL );                                     
    ASSERT_KINDOF( CMDIChildWnd, pWnd );                        
static CString sText( _T("") );                                 
    CDocument * pActiveDoc =                                    
        ((CMDIChildWnd *)pWnd)->                                
            GetActiveDocument();                                
    if( pActiveDoc != NULL )                                    
    {                                                           
        sText = pActiveDoc->GetTitle();                         
        if( pActiveDoc->IsModified() )                          
            sText += _T(" *");                                  
    }                                                           
    if( sText.IsEmpty() )                                       
        pWnd->GetWindowText(sText);                             
    return (sText.IsEmpty()) ? _T("") : LPCTSTR(sText);         
}