What's wrong with my macro function?

I defined a multi-line macro function using line continuation character "" like the following:

#define SHOWMSG( msg )  
{      
    std::ostringstream os;      
    os << msg;      
    throw CMyException( os.str(), __LINE__, __FILE__ );  
}

But it could not pass compilation. BTW, I'm using VS2008 compiler. Would you please tell what's wrong with my aforesaid macro function?