Pointer problem

Hi, To be honest, I feel bad asking a question like this, but if anyone could help it would be much appreciated. Its late and I'm sure it's something stupid... I have a function to create an instance of my game engine, like so:

bool CreateEngine( Engine *pEngine )
{
    // check if the global engine pointer is already set
    if( g_pEngine )
        return false;

    // create the engine
    try {
        pEngine = new Engine();
    }
    catch( std::bad_alloc )
    {
        return false;
    }
		
    // return success
    return true;
}


int APIENTRY WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nCmdShow)
{
    Engine *pEngine = NULL;

    if( !CreateEngine( pEngine ) )
    {
        // *snip*
    }

    delete pEngine;
}

The call to CreateEngine() returns true, and in the watch window I can see the Engine object is created OK. However, as soon as the function returns the pointer is set back to NULL. Can anyone figure out why? Many thanks.