Exceptions silently caught by Windows, how to handle manually?

After browsing similar questions I stumbled across this answer: OpenGL suppresses exceptions in MFC dialog-based application

"Ok, I found out some more information about this. In my case it's windows 7 that installs KiUserCallbackExceptionHandler as exception handler, before calling my WndProc and giving me execution control. This is done by ntdll!KiUserCallbackDispatcher. I suspect that this is a security measure taken by Microsoft to prevent hacking into SEH.

The solution is to wrap your wndproc (or hookproc) with a try/except frame."

I've filed a bug report with Microsoft, you can see their response here:
http://connect.microsoft.com/VisualStudio/feedback/details/550944/hardware-exceptions-on-x64-machines-are-silently-caught-in-wndproc-messages

From Microsoft:

Thanks for the report. I've found out that this is a Windows issue, and there is a hot fix available. Please see http://support.microsoft.com/kb/976038 for a fix that you can install if you wish.

If you're running on an x64 OS you may have been bitten by this:

http://blog.paulbetts.org/index.php/2010/07/20/the-case-of-the-disappearing-onload-exception-user-mode-callback-exceptions-in-x64/

Or (less likely in this case), it may be this: http://blogs.msdn.com/b/oldnewthing/archive/2011/01/20/10117963.aspx

functions that may be of interest:

SetUnhandledExceptionFilter()
_set_invalid_parameter_handler()
_RTC_SetErrorFuncW()
_CrtSetReportHookW2()

PS, be aware that SetUnhandledExceptionFilter() can be overriden by other dlls loaded into your .exe. eg, flash and nvidia direct3d do this. I use api hooking to cure this.