Leaving aside the confusion between SEH and C++ exceptions, you need to be aware that exceptions can be thrown at any time, and write your code with that in mind. The need for exception-safety is largely what drives the use of RAII, smart pointers, and other modern C++ techniques.
If you follow the well-established patterns, writing exception-safe code is not particularly hard, and in fact it's easier than writing code that handles error returns properly in all cases.
