asp.net + unmanaged dll security issues

[Priya]

Hi,
I'm developing an ASP.NET application. I imported a C++ dll into the C# code.
When I tried to access a function in that dll, application threw an exception
"System.Runtime.InteropServices.SEHException:External component has thrown
an exception". I debugged the unmanaged C++ code & found that the code that
generated this exception is

CDaoDatabase db;
db.open("C:\\VM.mdb") // this is the code that generated exception

I tried using try catch blocks
but the control does'nt come to catch block
How do i determine the exception?
The same dll function works fine if the dll is impoted in a Windows
application.
Is there any security issues in Web application?

Thanks in advance
Priya