Add reference to C++ docs (#3304)

Author: nxtn

xml/System.Runtime.InteropServices/SEHException.xml

@@ -64,7 +64,7 @@
   
  Any SEH exception that is not automatically mapped to a specific exception is mapped to the <xref:System.Runtime.InteropServices.SEHException> class by default.  
   
- For more information, search on "unmanaged exceptions" and "Structured Exception Handling" in the MSDN Library.  
+ For more information, see [Structured Exception Handling (C/C++)](/cpp/cpp/structured-exception-handling-c-cpp).  
   
  Note that the <xref:System.Runtime.InteropServices.SEHException> class does not cause unmanaged C++ exception destructors to be called. To ensure that unmanaged C++ exception destructors are called, use the following syntax in the `catch` block.