This is the simplest case - because all pitfalls are already handled by a framework. All your code is called by the framework. All exception from your code are handled by the framework. Framework handles exceptions and convert them to something (what is required by the API).
Framework takes care of passing exceptions between host and DLL
In this case you can just write your code as you usually do. Framework will provide a default handling and error reporting. Some frameworks also allow you to alter default handling (useful for customizations). You should refer to the documentation of your framework if you want to do such customizations. Usually, there is some sort of global Application.OnException event, which you may assign to your handler's code.
Note: some frameworks handles exceptions within DLL by showing error message in DLL and passing "fail" to the caller. Some frameworks leaves decision about what do to with the exception to the caller - which may show error message for exception or may do something else (like re-try or perform alternative solution). Therefore, the creation of bug reports for exceptions from DLL is not always an easy question. Some possible approaches are illustrated in this article.