Vista - Problem getting exception info from unmanaged C++

Hi,

I've got some C# code instantiating a managed C++ class which in turn
instantiates an unmanaged C++ class. I'm getting intermittent
exceptions caught by my C# code, but the I can't get any details of
the root cause. The info I have is:

System.Runtime.InteropServices.SEHException was unhandled by user code
ErrorCode=-2147467259
Message="External component has thrown an exception."
Source="MyManagedCppClass"
StackTrace:
at new(UInt32 ) at MyNamespace.MyManagedCppClass..ctor()

There is no inner exception. Any ideas how I go about finding more
info on the root cause? My C++ skills are pretty basic, so hopefully
I'm just missing something obvious.

Thanks
Akash