Code:
int WeBeOutOfMemory ( size_t size )
{

    cerr << "We be out of memory... Duhhhh!" << endl;
    abort();

}

int main(int argc, char* argv[])
{

    _set_new_handler ( WeBeOutOfMemory );

    int * pBigDataArray = new int[1000000000];

    return 0;
}
Seems to work... although set_new_handler() can't be used... You have to use _set_new_handler()