#include <windows.h>

class MyClass
{
public:
    MyClass() {}
    bool IsError() {return TRUE;}    
};

int main()
{
    MyClass *cl = new MyClass();
    __try
    {
        if(cl->IsError())
            __leave;
    }
    __finally
    {
        delete cl;
    }
}

А>А кто же?

Possible solutions

Move code that requires SEH to another function.
Rewrite functions that use SEH to avoid the use of local variables and parameters that have destructors. Do not use SEH in constructors or destructors.
Compile using /GX-.

> А кто же?

The try-except and try-finally statements are a Microsoft extension to the C language that enables applications to gain control of a program after events that would normally terminate execution.

int main()
{
   std::auto_ptr<MyClass> cl(new MyClass());
   if(cl->IsError())
      return 1;
   else
      return 0;
}

B>int main()
B>{
B>   std::auto_ptr<MyClass> cl(new MyClass());
B>   if(cl->IsError())
B>      return 1;
B>   else
B>      return 0;
B>}
B>

MyClass *g_cl = NULL;

void foo()
{
    BOOL bOK = FALSE;
    g_cl = new MyClass();
    __try
    {
        if(g_cl->IsError())
            __leave;
            ...
            ...
        bOK = TRUE;
    }
    __finally
    {
        if(!bOK)
        {
            delete cl;
        }
    }
}

std::auto_ptr<MyClass> g_cl;

void foo()
{
std::auto_ptr cl(new MyClass());
if(cl->IsError())
return;
...
...
g_cl = cl;

}

int main()
{
foo();
...
...
g_cl.reset(); // думаю, не стоит ему жить дольше main()
}

А>MyClass *g_cl = NULL;

А>void foo()
А>{
А>    BOOL bOK = FALSE;
А>    g_cl = new MyClass();
А>    __try
А>    {
А>        if(g_cl->IsError())
А>            __leave;
А>            ...
А>            ...
А>        bOK = TRUE;
А>    }
А>    __finally
А>    {
А>        if(!bOK)
А>        {
А>            delete cl;
А>        }
А>    }
А>}
А>

class MyClass
{
public:
  bool is_error;
  MyClass()
   : is_error(false)
  {
    try
    {
      init();
    }
    catch(...)
    {
      is_error = true;
      uinit();
    }
  }
}

void main()
{
  MyClass* mc = new MyClass;
  if(mc->is_error)
    delete mc;
}