First chance exception in Native C++ dll

[forstudy3]

C++ ntive DLL Code I have is first creates a thread to start aplication Vayu(inhouse app).Then Vayu starts up ,then data inside it gets processed.Issue I am facing is Vayu getting crashed during execution.I debugged the code line by line but couldn't locate the culprit.Output window shows following message

The thread 'Win32 Thread' (0x1710) has exited with code 0 (0x0).
The thread 'Win32 Thread' (0xd7c) has exited with code 0 (0x0).
First-chance exception at 0x7c812afb in Vayu.exe: 0xC0000025: Windows cannot continue from this exception.
The thread 'Win32 Thread' (0x15dc) has exited with code 0 (0x0).
The thread 'Win32 Thread' (0x464) has exited with code 3 (0x3).
The thread 'Win32 Thread' (0x82c) has exited with code 3 (0x3).
The thread 'Win32 Thread' (0xaec) has exited with code 3 (0x3).
The thread 'Win32 Thread' (0x644) has exited with code 3 (0x3).
The program '[4896] Vayu.exe: Native' has exited with code 3 (0x3)

After some google & help frm other forums I set the tools-exceptions option to thrown for C++ exceptions & Win32 exceptions.
With this setting I am getting popup message as "First-chance exception at 0x7c812afb in Vayu.exe: 0xC0000025: Windows cannot continue from this exception" with ignore,continue,break option at the end of fuction(exact at the closing brace of function). I am not able to to locate exact line of code causing this exception.After this vayu winodw closes.

I am using VS 2008 IDE.

[helios]

Since the exception is being thrown at a closing brace, that points to a buggy destructor or constructor (specially a copy constructor). See if you can find the exact function that's producing the exception by browsing the call stack. The buggy function is likely to be strongly linked to it. Look for duplicate deletions of pointers, bad assignments of pointers that will be manually managed, unassigned pointers, etc.