How to catch an exception?

Hello,

I have a VC++ client that attaches to a COM server via CreateDispatch(). I
then get an object from the COM server via a function called
GetItemDocument(long nItem);

If the document doesn't exist, an exception is thrown, and here is my
problem. I can't catch the exception!

Instead I wind up in AfxCallWndProc() (wincore.cpp) in the CATCH_ALL(e)
statement!??
Params are
pWnd = 0x0012fc0c {CVCClientDlg hWnd=0x0005101e}
hWnd = 0x0005101e {unused=??? }
nMsg = 273
wParam = 1002
lParam = 331804

The AfxProcessWndProcException will show a messagebox with Type mismatch.
This is the output:
Warning: automation return value coercion failed.
Warning: constructing COleException, scode = DISP_E_TYPEMISMATCH
($80020005).
First-chance exception at 0x7c812a5b in VCClient.exe: Microsoft C++
exception: COleException at memory location 0x0012ef30..
Warning: Uncaught exception in WindowProc (returning 1).

My calling code looks like this:
LPDISPATCH lpDisp = NULL;

try
{
    lpDisp = m_project.GetItemDocument(0); // here i exit to AfxCallWndProc()
}
catch(COleException &ex)
{
    ex.ReportError()
}
catch(CException &ex)
{
    ex.ReportError();
}

What I want is to catch the exception so that I can handle it the way it
should be handled!

How do I do this??

// Anders
--
English is not my first, or second, language
so anything strange, or insulting, is due to
the translation.
Please correct me so I may improve my English!

PS! The COM server is not written by me, but I have got a copy of the
source (it's not possible for me to change anything in it) so the
GetItemDocument() looks like this:

LPDISPATCH CProjectDispatch::GetItemDocument(long nItem)
{
    ASSERT(m_pMyProject != NULL);

    int nCount = m_pMyProject->GetItemsCount();

    CLaserDoc* pLaserDoc = (nItem >= 0 && nItem < nCount) ?
        m_pMyProject->m_arrayProjectItems[nItem]->GetDocument() : NULL;

    // Throw an dummy OLE exception to break COleDispatchImpl::Invoke() call
letting
    // the VARIANT result set to VT_EMPTY
    if(pLaserDoc == NULL)
        AfxThrowOleException(S_OK);

    return pLaserDoc ? pLaserDoc->GetIDispatch(TRUE) : NULL;
}