VC++ Console App - is it possible to add a callback from a connection point??

I have added in a callback from a COM connection point, from my VC++ console App. The QI on the ConnectionPointContainer , FindConnectionPOint and Advise all work OK. However in the EXE that has the connectionpoint, when it runs through the Fire_<callback method>, the HR from the _<callback method> returns the error 8001010e. This describes a threading / marshalling issue. Is this due to the console App not being able to accept callbacks due to lack of threading? Or am I barking upi the wrong tree?

Cheers