How to catch unmanaged C++ exception in managed C++

I am developing a thin managed C++ wrapper over a large unmanaged C++ library, and a large C# library. I need to catch errors originating in that large unmanaged C++ library, and rethrow them as Clr exceptions. The unmanaged library throws instances of the following class:

Error::Error(const std::string& file, long line,
             const std::string& function,
             const std::string& message) {
    message_ = boost::shared_ptr<std::string>(new std::string(
                                  format(file, line, function, message)));
}

const char* Error::what() const throw () {
    return message_->c_str();
}

So far I have come up with this:

try{
// invoke some unmanaged code
}
catch(Object*)
{
throw gcnew System::Exception("something bad happened");
}

How do I extract the message from Error class and convert it to the Clr String class, so that I can pass it to gcnew System::Exception() constructor? If the unmanaged code throws something else, will my catch block catch it?

Edit: I am using catch(Object*) because that is recommended in MCDN