SetConsoleCtrlHandler routine issue

I'm writting a console application in C++.

I use SetConsoleCtrlHandler to trap close and CTRL+C button. This allows for all my threads to stop and exit properly.

One of the thread performs some saving that require some time to complete and I have some code to wait in the console crtl handle routine. MSDN specify that a box should pop up after 5 seconds for CTRL_CLOSE_EVENT, but instead my process exits.

This is annoying for debugging console application too as the process exits before you can step through and I don't know what may be the problem (I have Windows 7 64bits).

Also, strangely if my routine returns TRUE (to simply disable the close action), it still closes the application. The routine does get called, so the SetConsoleCtrlHandler was successful installed.

e.g.:

BOOL WINAPI ConsoleHandlerRoutine(DWORD dwCtrlType)
{
    if (dwCtrlType == CTRL_CLOSE_EVENT)
    {
        return TRUE;
    }

    return FALSE;
}

int _tmain(int argc, _TCHAR* argv[])
{
    BOOL ret = SetConsoleCtrlHandler(ConsoleHandlerRoutine, TRUE);

    while (true)
    {
        Sleep(1000);
    }
    return 0;
}

Any ideas?