Showing dialog in DLL

[TubularX]

I create a dynamic library, using "MFC in a Shared DLL".

I export a test method:

h-file:

class CMyClass  
{
public:
  __declspec(dllexport) void Test();
};

cpp-file:

void CMyClass::Test()
{
  CDialog1 dlg;
  dlg.DoModal();

  DWORD dw = GetLastError();
}

CDialog1 is just a new dialog created with resource editor. It's empty, except for buttons "OK" and "Cancel".

When method "Test" is called from another MFC application, the dialog is not shown and GetLastError returns error 87 "The parameter is incorrect". I've also tried using macro AFX_MANAGE_STATE, but same error. (Attached zipped project).

Please help. What parameter?? What do I need to add (or change) to show the dialog?