It's possible to design your exceptions to include source file names & line numbers.  In order to do so, you need to create a class derived from std::exception to contain the information.  In the example below, I have a library of exceptions for my application including my_exception.  I also have a traced_error which is a template exception class derived from my application-level exceptions.  The traced_error exception holds information about the filename & line number, and calls the application-level exception class' what() method to get detailed error information.
#include <cstdlib>
#include <string>
#include <stdexcept>
#include <iostream>
using namespace std;
template<class EX>
class traced_error : virtual public std::exception, virtual public EX
{
public:
    traced_error(const std::string& file, int line, const EX& ex)
    :   EX(ex),
        line_(line),
        file_(file)
    {       
    }
    const char* what() const
    {
        std::stringstream ss;
        static std::string msg;
        ss << "File: " << file_ << " Line: " << line_ << " Error: " << EX::what();
        msg = ss.str().c_str();
        return msg.c_str();
    }
    int line_;
    std::string file_;
};
template<class EX> traced_error<EX> make_traced_error(const std::string& file, int line, const EX& ex)
{
    return traced_error<EX>(file, line, ex);
}
class my_exception : virtual public std::exception
{
public:
    my_exception() {};
    const char* what() const
    {
        return "my_exception's what";
    }
};
#define throwx(EX) (throw make_traced_error(__FILE__,__LINE__,EX))
int main()
{
    try
    {
        throwx(my_exception());
    }
    catch( const std::exception& ex )
    {
        cout << ex.what();
    }
    return 0;
}
The output of this program is:
File: .\main.cpp Line: 57 Error:
  my_exception's what
You could also redesign this so that the application-level exceptions derive from traced_error instead of the other way round, in case you would rather catch specific application-level exceptions.  In your catch, you can log the error to a log file & create a dump file using MiniDumpWriteDump().