catching first chance exception question

[Robert Reif]

I'm looking at how windows deals with invalid
parameters in some of the winmm functions and
it raises some questions. Sometimes they will check
the parameters and return an error code and
sometimes they will let a bad parameter cause
a first-chance exception and catch it and return
an error code.

Is it ok to do a simple NULL pointer check and return an
error rather than letting it cause an exception and catching
it?  If not, what's the best way to catch the exception and
return the proper error code?