It is just a debugger notification and doesn't otherwise mean anything. You catch the exception like you normally do, just try/catch. You want catch (_com_error& ex)
in this case, it tells you why your COM method call failed.
"First chance" exceptions are useful because you can ask the debugger to stop when the exception is thrown. Which lets you find out why it is thrown. You use Debug + Exceptions, tick the Thrown checkbox for C++ exceptions. Not terribly interesting in the case of _com_error exceptions, you'll just see the auto-generated wrapper you got from the #import directive. If you don't want to see the noise of the notification then simply right-click the Output window and untick "Exception messages".