How do I catch an exception thrown from a linked DLL?

I'm using a DLL's methods/code from my own DLL (they were compiled with the same compiler). The other DLL throws an exception but I'm unable to catch it. How do I do this?

You mean an exception such as ACCESS_VIOLATION from the operating system or something like an stl std::bad_alloc?

You might want to read: Chapter 62. Don't allow exceptions to propagate across module boundaries