//in Debug.h
HRESULT OpenDebugFile(TCHAR *szFileName);

void CloseDebugFile();

#ifdef _DEBUG
        HRESULT FailureTest(HRESULT,TCHAR*,INT);

        #ifdef FAILED
        #undef FAILED
        #endif
        #define FAILED(result) FailureTest(result, _T(__FILE__), _T(__LINE__));
#endif     
//*********************************************************

//in Debug.cpp
ofstream g_DbgOut;

HRESULT OpenDebugFile( TCHAR* szFileName )
{
    g_DbgOut.open( szFileName );
    if( g_DbgOut.good() )
        return S_OK;

    return E_FAIL;
}

void CloseDebugFile()
{
    if( g_DbgOut.good() )
        g_DbgOut.close();
}

HRESULT FailureTest( HRESULT hr, TCHAR* szFile, INT iLine )
{
    BOOL bFailed = ( hr < 0 );

    assert(g_DbgOut.good());

    if( bFailed )
        g_DbgOut << "Function Failure: " << "File: " << szFile << ", " 
                 << "Line:" << iLine << endl;

    return bFailed;
}
//*****************************************************

//in use
void main()
{
        OpenDebugFile( _T("Debug.txt") );  //should check for failure

        HRESULT hr = Func();
        if( FAILED( hr ) )
                goto Cleanup;

        /****Other code****/

Cleanup:
        CloseDebugFile();  

}

//Output
Function Failure: File: /*Path with file name*/, Line: 4