If the Registry class shown below throws an exception, I get Windows error "Unhandled Exception.". I though my catch block would get executed.

Code:
class CRegistry
{
public:
   CRegistry()
   {
	if (RegOpenKeyEx(HKEY_LOCAL_MACHINE, base, 0, KEY_ALL_ACCESS, &hkey_) != ERROR_SUCCESS)
	{
		// Can't open the registry key, so throw an exception.
		throw;
		// Lines beyone here are never executed.  
	}
  }

// remainder of class not shown
};




int main()
{
  try
  {
	Registry reg("Software\\COE\\Software\\GTSAIT");
  }
  catch(...)
  {
	AfxMessageBox("Exception caught");
  }
}