Detours is a Microsoft library for instrumenting arbitrary Win32 functions (by Microsoft Research), unfortunately not free. There is a paper Detours: Binary Interception of Win32 Functions by Microsoft guys. In addition, there is API Hooking with MS Detours article on CodeProject.
Then, there is EasyHook – “The reinvention of Windows API Hooking” as they say themselves – which allows to hook APIs from managed code and write managed detours. This one is free, and from what is there it looks even more interesting than Microsoft’s Detour. And there is also a related CodeProject article.