You may want to capture your this pointer into a C++ lambda, but that captures the raw pointer. If you need to extend the object’s lifetime, you will need to capture a strong reference. For plain C++ code, this would be a std::shared_ptr. For COM objects, this is usually some sort of smart pointer class like ATL::CComPtr, Microsoft::WRL::ComPtr, or winrt::com_ptr.

  // std::shared_ptr
  auto callback = [self = shared_from_this()]() {
    self->DoSomething(self->m_value);
    self->DoSomethingElse();
   };

  // WRL::ComPtr
  auto callback = [self =
                   Microsoft::WRL::ComPtr<ThisClass>(this)]() {
    self->DoSomething(self->m_value);
    self->DoSomethingElse();
  };

  // ATL::CComPtr
  auto callback = [self =
                   ATL::CComPtr<ThisClass>(this)]() {
    self->DoSomething(self->m_value);
    self->DoSomethingElse();
  };

  // winrt::com_ptr
  template<typename T>
  auto to_com_ptr(T* p) noexcept
  {
    winrt::com_ptr<T> ptr;
    ptr.copy_from(p);
    return ptr;
  }

  auto callback = [self = to_com_ptr(this)] {
    self->DoSomething(self->m_value);
    self->DoSomethingElse();
  };

A common pattern for the “capture a strong reference to yourself” is to capture both a strong reference and a raw this. The strong reference keeps the this alive, and you use the this for convenient access to members.

  // std::shared_ptr
  auto callback = [lifetime = std::shared_from_this(this),
                   this]() {
    DoSomething(m_value);  // was self->DoSomething(self->m_value);
    DoSomethingElse();     // was self->DoSomethingElse();
   };

  // WRL::ComPtr
  auto callback = [lifetime =
                   Microsoft::WRL::ComPtr<ThisClass>(this),
                   this]() {
    DoSomething(m_value);  // was self->DoSomething(self->m_value);
    DoSomethingElse();     // was self->DoSomethingElse();
  };

  // ATL::CComPtr
  auto callback = [lifetime =
                   ATL::CComPtr<ThisClass>(this),
                   this]() {
    DoSomething(m_value);  // was self->DoSomething(self->m_value);
    DoSomethingElse();     // was self->DoSomethingElse();
  };

  // winrt::com_ptr
  auto callback = [lifetime = to_com_ptr(this),
                   this]() {
    DoSomething(m_value);  // was self->DoSomething(self->m_value);
    DoSomethingElse();     // was self->DoSomethingElse();
  };

I like to give the captured strong reference a name like lifetime to emphasize that its purpose is to extend the lifetime of the this pointer. Otherwise, somebody might be tempted to “optimize” out the seemingly-unused variable.