Tiny Curl C++ wrapper
You should probably derive from std::runtime_error.
It takes a string in the constructor as the message and stored it for use with what() in a way that is safe even in low memory situations:

Your exception class is then simplified too:

class CurlException : public std::runtime_error
{
public:
   CurlException(std::string const&amp; message): std::runtime_error(message) {}
                         //  ^^^^^^^ pass message by const reference.
   CurlException(CURLcode error): std::runtime_error(curl_easy_strerror(error)) {}
};


The use of exception specifications in C++ was an experiment that ultimitely showed it was a bad idea. The only useful specification was the no throw specification (and then only when you made sure it really was no-throw).

void SetOptions() throw (CurlException)
              // ^^^^^^^^^^^^^^^^^^^^^ Get rid of this bit.


In C++11 exception specifications have been deprecated.

The curl library is a C library. It only knows about C calling conventions. Thus you can NOT pass it C++ functions. If it works it is pure luck and definately non portable.

  res = curl_easy_setopt(m_handle, CURLOPT_WRITEFUNCTION,
                          CppCurl::WriteDataCallback);


Even though CppCurl::WriteDataCallback is a static function there is no guarantee that static methods have the same calling convention as a C function. Future versions of the compiler may break your code.

You should do something like this:

 extern "C" size_t WriteDataCallback(void *ptr, size_t size, size_t nmemb, void* pInstance)
 {
      CppCurl*   obj = reinterpret_cast&lt;CppCurl*&gt;(pInstance);
      return obj-&gt;write_data(ptr, size, nmemb);
 }


Not a big deal but I would have used insert rather than +=.

      m_data += std::string(iter, iterEnd);

 // -- or.

      m_data.insert(m_data.begin(), iter, iterEnd);