Passing a C# callback function through Interop/pinvoke

I am writing a C# application which uses Interop services to access functions in a native C++ DLL. I am already using about 10 different functions which are working.

Now I am not sure how to handle passing a callback as a parameter so that the DLL can call my code.

Here is the function prototype of the DLL:

typedef void (WINAPI * lpfnFunc)(const char *arg1, const char *arg2)

And the function that allows me to pass the above type:

int WINAPI SetFunc(lpfnFunc f)

Here is my C# code for the delegate and function definitions:

public delegate void Func(string arg1, string arg2);

public static void MyFunc(string arg1, string arg2)

Here is my C# code for the SetFunc Interop function:

[DllImport("lib.dll", CharSet = CharSet.Ansi)]
public static extern int SetFunc(Func lpfn);

And finally here is the code where I call the SetFunc function and pass it my callback:

SetFunc(new Func(MyFunc));

Unfortunately my function is not being called when it should be. The return value of the SetFunc function is returning the error code for a Success, so either it's not calling my function or it's not working because my code is wrong.