Confused by failuer of CDialog::Create()

Question

ZTRACE_RUNTIME("Creating Processing Panel");
BOOL result = processingDlg.Create(IDD_PROCESSING);
if (FALSE == result)
{
    int lastErr = GetLastError();
    ZTRACE_RUNTIME("lastErr = %d", lastErr);    
}

This is a debug build.

Problems:

1. I can't step into Create using F11???
2. Result was set to 0, so GetLastError was invoked, but that returned 0!

What am I doing wrong?