Intel® Fortran Compiler 17.0 Developer Guide and Reference
Windows* provides a robust exception and termination handling mechanism called Structured Exception Handling (SEH). Structured exception handling requires support in both the operating system and compilers. Unfortunately, Intel® Fortran does not include extensions for SEH support, but you can still take advantage of this powerful tool. By introducing a bit of C code in your application, you can use SEH to meet your exception handling needs.
A good reference on this subject is Chapter 16 in the book Advanced Windows (Third Edition) by Jeffrey Richter.