What are you exactly seeing? For me, the constructor was recognized using VS2008 and VA 1738, but m_member and m_member2 was underlined. Is that what you are seeing?
I expanded your example with class declaration for the test:
class MyTest
{
MyTest* m_member;
MyTest* m_member2;
MyTest();
}
When I placed the caret over the constructor in your code and pressed alt+G it took me to the constructor in my class declaration.