Handling Floating Point Exception in VC++ 6.0

I've been trying to handle floating point exceptions but I am having some
problems.

Basically I am able to catch the exception with the catch(...), I wrote a
class that should be thrown but it is not working.

I basically coded the following class

FloatException::FloatException( int nSubCode )
{
    subCode = nSubCode;
    _fpreset();
}

void FloatException::FloatExceptionHandler( int sig, int nSubCode )
{
    throw( new FloatException( nSubCode ) );
}

void FloatException::SetFloatExceptionHandler()
{
    // Get the current floating point control word.
    //unsigned int uWord = _controlfp( 0, 0 );

    unsigned int uWord = 0;

    // Set the exceptions we want
    uWord |= _EM_UNDERFLOW;
    uWord |= _EM_OVERFLOW;
    uWord |= _EM_ZERODIVIDE;
    uWord |= _EM_INVALID;

    _controlfp(uWord, _MCW_EM);

    uWord = _controlfp( 0, 0 );

    // Set the exception handler.
    signal( SIGFPE, (void (__cdecl*)(int))FloatExceptionHandler );
}

in the main code I do this

 FloatException::SetFloatExceptionHandler();
try
{
 double temp = exp(99999999);
}
catch(FloatException& e)
{
}
catch(...)
{

}

the problem is that it never hits the FloatException catch, and it never
executes the FloatExceptionHandler. it does get caught in the catch(...)
which didn't do before I wrote the code.

Is there something I am missing? Is there a better way to do floating point
exception.

I am running Windows XP on a Xeon. Does the processor matter?