First chance exception in MSXML6

I'm validating XML files against XSD schemas as they do in the MSXML documentation example. I have the following code:

XMLSchemaValidation updateInfoSchema;
updateInfoSchema.DoInitialization(L"schema.xsd");

HRESULT hr = CoInitialize(NULL);
if(SUCCEEDED(hr))
{
    try
    {
        _bstr_t bstrOutput = updateInfoSchema.validateFile(L"valid.xml");
    }
    catch(_com_error &e)
    {
        updateInfoSchema.dump_com_error(e); 
    }
    CoUninitialize();
}


// Macro that calls a COM method returning HRESULT value.
#define CHK_HR(stmt)        do { hr=(stmt); if (FAILED(hr)) goto CleanUp; } while(0)


_bstr_t XMLSchemaValidation::validateFile(_bstr_t bstrFile)
{
    // Declare and initialize variables
    MSXML2::IXMLDOMSchemaCollectionPtr   pXS;
    MSXML2::IXMLDOMDocument2Ptr          pXD;
    MSXML2::IXMLDOMParseErrorPtr         pErr;
    _bstr_t bstrResult = L"";
    HRESULT hr = S_OK;

    // Create a schema cache and add xsd schema to it.
    CHK_HR(pXS.CreateInstance(__uuidof(MSXML2::XMLSchemaCache60), NULL, CLSCTX_INPROC_SERVER));
    CHK_HR(pXS->add(L"", (LPCSTR)(SchemaFileName.GetString())));

    // Create a DOMDocument and set its properties.
    CHK_HR(pXD.CreateInstance(__uuidof(MSXML2::DOMDocument60), NULL, CLSCTX_INPROC_SERVER));

    // Assign the schema cache to the DOMDocument's schemas collection.
    pXD->schemas = pXS.GetInterfacePtr();

    // Load bstrFile into the DOM document.
    pXD->async = VARIANT_FALSE;
    pXD->validateOnParse = VARIANT_TRUE;
    pXD->resolveExternals = VARIANT_TRUE;

    if(pXD->load(bstrFile) != VARIANT_TRUE)
    {
        pErr = pXD->parseError;

        bstrResult = _bstr_t(L"Validation failed on ") + bstrFile +
        _bstr_t(L"\n=====================") +
        _bstr_t(L"\nReason: ") + _bstr_t(pErr->Getreason()) +
        _bstr_t(L"\nSource: ") + _bstr_t(pErr->GetsrcText()) +
        _bstr_t(L"\nLine: ") + _bstr_t(pErr->Getline()) +
        _bstr_t(L"\n");
    }
    else
    {
        bstrResult = _bstr_t(L"Validation succeeded for ") + bstrFile +
        _bstr_t(L"\n======================\n") +
        _bstr_t(pXD->xml) + _bstr_t(L"\n");
    }

CleanUp:
    return bstrResult;
}

XMLSchemaValidation::DoInitialization(CString XSDFileName) gets the XSD schema file name into the CString XMLSchemaValidation::SchemaFileName.

The code then follows the one in the MSXML example, but I get

First-chance exception at 0x76f9c41f (KernelBase.dll) in CSW.exe: Microsoft C++ exception: _com_error at memory location 0x04a7f014..

when code reaches CHK_HR(pXS->add(L"", (LPCSTR)(SchemaFileName.GetString())));. hr has -2146697210.

Can anyone tell me why this happens?

MSXML is throwing the HRESULT OBJECT_NOT_FOUND (0x800C0006) because the xml you are using does not specify a character set, as detailed in this question. Or MSXML cannot find the file.