It is right in the
MSDN[
^]. See the Remarks section close to the end.
If a console process is being debugged and CTRL+C signals have not been disabled, the system generates a DBG_CONTROL_C exception. This exception is raised only for the benefit of the debugger, and an application should never use an exception handler to deal with it. If the debugger handles the exception, an application will not notice the CTRL+C, with one exception: alertable waits will terminate. If the debugger passes the exception on unhandled, CTRL+C is passed to the console process and treated as a signal, as previously discussed.