(Full disclosure: I am in a team that supports this feature)
Native C ++ code is supported by VS2010, but, as you saw, you can only link binaries (e.g. .dll or .exe). This means that the code you want to cover the coverage must be bound to the binary image before you produce it.
What unit test structure are you using? It looks like your test project is managed by pure C ++ ( /clr:safe ). If you create your own C ++ project as a DLL, your test project should at least be able to call your own DLL using P / Invoke calls. By doing this, you actually do not need to associate your native .lib with your test project.
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