auto cpcdeleter = []( CP_CONVERT * ptr ) { KillCpConvert( &ptr ); };
unique_ptr<CP_CONVERT, decltype( cpcdeleter )> cpc;

...

cpc = unique_ptr<CP_CONVERT, decltype( cpcdeleter )>( CreateCpConvert(), cpcdeleter );

struct CpDeleter
{
  public:
    void operator()(CP_CONVERT *ptr) const { KillCpConvert( &ptr ); }
};