MSDN: About Structured Exception Handling. Coarse overview.
Matt Pietrek: A Crash Course on the Depths of Win32 Structured Exception Handling (1997). Telling in detail how structured exception handling works on machine level and how compilers implement them on x86.
Matt Pietrek: New Vectored Exception Handling in Windows XP (2001). Telling how vectored exception handling works that came with Windows XP.
cbrumme’s WebLog: Windows SEH. The Exception Model, Windows SEH, Managed Exceptions, Flow Control, Performance and Trends…
Additional:
MSDN: AddVectoredExceptionHandler
MSDN: RemoveVectoredExceptionHandler
MSDN: Example: Using a Vectored Exception Handler
MSDN: Smart Device Development: SEH in x86 Environments
MSDN: _set_se_translator
MSDN: EXCEPTION_POINTERS
MSDN: EXCEPTION_RECORD