I am not sure if one the various files is the this one:

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vcmex/html/vcco
nconvertingmanagedextensionsforcprojectsfrompureintermediatelanguagetomixedmode.
asp

If not, it should explain the procedure for the various cases in some
detail. If I read it correctly, you will have to implement the usual
DllMain() procedure which is called by _DllMainCRTStartup() which, in turn,
is called by the call that _you_ must make to __crt_dll_initialize(). Be
sure that you don't try to use the CRT until it is initialized.

Just by the way, I don't know if my experience is typical, but when I needed
to do this, the debugger refused to examine static variables when stopped in
unmanaged code. It had no problem when stopped in managed code, however.

Regards,
Will