CoSetProxyBlanket and Managed Code
When running FxCop on any managed code that uses CoSetProxyBlanket you will see an error message saying the method cannot be called reliably from managed code. I've hit that message before was frustrated by my attempts to find an explanation on the web. Part of the reason is I'm not the most efficient searcher on the web.
However and internal discussion revealed to me a great blog entry explaining exactly why this is unreliable and more importantly how to work around the issue.
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