"Run-Time Check Failure #0 - The value of ESP was not properly saved across a function call" after successful C# callback from the C++ code of GameSpy lib.

Answer 1

Check the calling conventions you are using.

 [UnmanagedFunctionPointer(CallingConvention.Cdecl)]

Reference to other related question: Callback from C function - crash

Answer 2

Problem solved unexpectedly my myself (after 5 hours googling). I suspected a wrong calling convention already, but I didn't know how to switch it correctly. I've changed it in the C code as suggested here (http://computerarts.com.cn/dotnet-tech/1691/):

// GPCallback
/////////////
//__declspec(dllexport) typedef void (* GPCallback)(
//typedef __declspec(dllexport) void (* GPCallback)(
typedef void (_stdcall * GPCallback)(
  GPConnection * connection,
  void * arg,
  void * param
);