Summary of Answers
To avoid the debugger trapping Ctrl+C first turn off the Visual Studio Hosting Process (found in project pro
I found the answer, it is a debugging Exception option. I don't know how I missed it the first time, but here it is:
Debug -> Exceptions... Win32 Exceptions - Control-C
This is in VS2008 Pro.
I can also confirm that the option does NOT exist in the Express editions (the entire Win32 Exceptions node is missing).
So the only question I have left, since I don't own VS2010 Pro (yet?) is: Does the Win32 Exceptions node, and the Control-C exception exist in the VS2010 Pro edition?