I discovered that DSYMM crashes on a Pentium III (but not Pentium IV) when calling DSYMM from within a COM+ component. Almost identical code does not crash when called from standalone executable. The crash occurs with both dynamic and static linking to MKL.
I though that this could be a stack overflow since dllhost.exe sets the size of the stack. I am not sure what this is though but my exe uses the default 1MB. Does MKL on Windows have minimum requirements for the size of the stack?